Turnpike property of a linear-quadratic optimal control problem in large horizons with regime switching II: nonhomogeneous cases
Abstract
This paper is concerned with an optimal control problem for a nonhomogeneous linear stochastic differential equation having regime switching with a quadratic functional in the large time horizon. This is a continuation of the paper [H. Mei, R. Wang and J. Yong, Turnpike property of stochastic linear-quadratic optimal control problems in large horizons with regime switching. I. Homogeneous cases. preprint], in which the strong turnpike property was established for homogeneous linear systems with purely quadratic cost functionals. We extend the results to the current situation. It turns out that some of the results are new even for the cases without regime switchings.
Fields of Study & Subjects
Stochastic processes and financial applications
Stability and Control of Uncertain Systems
Optimization and Variational Analysis
Publication details
- Journal / source
- ESAIM Control Optimisation and Calculus of Variations
- Publisher
- EDP Sciences
- Volume
- 32
- Pages
- 43–43
- Publication date
- 1 January 2026