Time invariance of optimal control in a stochastic linear controller design with dynamic scaling of coefficients (Q2239173)

Consider the design of a stochastic linear-quadratic controller over an infinite time-horizon with dynamic scaling of the coefficients in the state equation and the cost criterion. The scaling is dynamic in the sense that the scaling functions depend on the time variable, hence, the coefficients are multiplied by a positive time-varying function. Dynamic scaling of the coefficients becomes necessary when passing from the internal (subjective) time to the real (physical) time of the control system. The time invariance of the solution of the control problem for the system with dynamic scaling over an infinite time-horizon is derived. Furthermore, an example of a scalar control system is treated, including an analysis of the key assumptions on the parameters, and a possible application to the dynamic stabilization in macroeconomics is given.