Turnpike properties for stochastic backward linear-quadratic optimal problems

Yuyang Chen; Peng Luo

Turnpike properties for stochastic backward linear-quadratic optimal problems

Optimization and Control 2023-09-08 v1

Authors: Yuyang Chen , Peng Luo

Abstract

This paper deals with the long time behavior of the optimal solution of stochastic backward linear-quadratic optimal control problem over the finite time horizon. Both weak and strong turnpike properties are established under appropriate conditions, including stabilizability condition. The key ingredients are to formulate the corresponding static optimization problem and determine the correction processes. However, our techniques are quite different from stochastic (forward) linear-quadratic case.

Keywords

optimal control stochastic control optimal stopping

Cite

@article{arxiv.2309.03456,
  title  = {Turnpike properties for stochastic backward linear-quadratic optimal problems},
  author = {Yuyang Chen and Peng Luo},
  journal= {arXiv preprint arXiv:2309.03456},
  year   = {2023}
}

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