南方科技大学知识苑(SUSTech KC): Turnpike Properties for Stochastic Linear-Quadratic Optimal Control Problems

题名	Turnpike Properties for Stochastic Linear-Quadratic Optimal Control Problems
作者	Sun，Jiangrui1 ; Wang，Hanxiao 2; Yong，Jiongmin 3
通讯作者	Wang，Hanxiao
发表日期	2022-11-01
DOI	10.1007/s11401-022-0374-x
发表期刊	CHINESE ANNALS OF MATHEMATICS SERIES B 影响因子和分区
ISSN	0252-9599
EISSN	1860-6261
卷号	43 期号:6页码:999-1022
摘要	This paper analyzes the limiting behavior of stochastic linear-quadratic optimal control problems in finite time-horizon [0, T] as T → ∞. The so-called turnpike properties are established for such problems, under stabilizability condition which is weaker than the controllability, normally imposed in the similar problem for ordinary differential systems. In dealing with the turnpike problem, a crucial issue is to determine the corresponding static optimization problem. Intuitively mimicking the deterministic situations, it seems to be natural to include both the drift and the diffusion expressions of the state equation to be zero as constraints in the static optimization problem. However, this would lead us to a wrong direction. It is found that the correct static problem should contain the diffusion as a part of the objective function, which reveals a deep feature of the stochastic turnpike problem.
关键词	49N10 93D23 93E15 93E20 Linear-quadratic Riccati equation Stabilizability Static optimization Stochastic optimal control Turnpike property
相关链接	[Scopus记录]
语种	英语
学校署名	第一
ESI学科分类	MATHEMATICS
Scopus记录号	2-s2.0-85143349993
来源库	Scopus
引用统计	被引频次[WOS]：7
成果类型	期刊论文
条目标识符	http://sustech.caswiz.com/handle/2SGJ60CL/416502
专题	理学院_数学系
作者单位	1.Department of Mathematics,Southern University of Science and Technology,Shenzhen,518055,China 2.College of Mathematics and Statistics,Shenzhen University,Shenzhen,518060,China 3.Department of Mathematics,University of Central Florida,Orlando,32816,United States
第一作者单位	数学系
第一作者的第一单位	数学系
推荐引用方式 GB/T 7714	Sun，Jiangrui,Wang，Hanxiao,Yong，Jiongmin. Turnpike Properties for Stochastic Linear-Quadratic Optimal Control Problems[J]. CHINESE ANNALS OF MATHEMATICS SERIES B,2022,43(6):999-1022.
APA	Sun，Jiangrui,Wang，Hanxiao,&Yong，Jiongmin.(2022).Turnpike Properties for Stochastic Linear-Quadratic Optimal Control Problems.CHINESE ANNALS OF MATHEMATICS SERIES B,43(6),999-1022.
MLA	Sun，Jiangrui,et al."Turnpike Properties for Stochastic Linear-Quadratic Optimal Control Problems".CHINESE ANNALS OF MATHEMATICS SERIES B 43.6(2022):999-1022.