Turnpike properties for stochastic linear-quadratic optimal control problems
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Publication:2105894
DOI10.1007/s11401-022-0374-xzbMath1503.49030arXiv2202.12699OpenAlexW4310859960MaRDI QIDQ2105894
Hanxiao Wang, Jingrui Sun, Jiong-min Yong
Publication date: 8 December 2022
Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2202.12699
stochastic optimal controlstabilizabilityRiccati equationturnpike propertylinear-quadraticstatic optimization
Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic stability in control theory (93E15) Exponential stability (93D23)
Related Items (2)
Coupling by reflection for controlled diffusion processes: turnpike property and large time behavior of Hamilton-Jacobi-Bellman equations ⋮ Turnpike Properties for Mean-Field Linear-Quadratic Optimal Control Problems
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