Turnpike Properties for Mean-Field Linear-Quadratic Optimal Control Problems
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Abstract: This paper is concerned with an optimal control problem for a mean-field linear stochastic differential equation with a quadratic functional in the infinite time horizon. Under suitable conditions, including the stabilizability, the (strong) exponential, integral, and mean-square turnpike properties for the optimal pair are established. The keys are to correctly formulate the corresponding static optimization problem and find the equations determining the correction processes. These have revealed the main feature of the stochastic problems which are significantly different from the deterministic version of the theory.
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Cites work
- scientific article; zbMATH DE number 51863 (Why is no real title available?)
- scientific article; zbMATH DE number 3200250 (Why is no real title available?)
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Cited in
(13)- A note on existence and asymptotic behavior of Lagrangian equilibria for first-order optimal-exit mean field games
- The exponential turnpike phenomenon for mean field game systems: weakly monotone drifts and small interactions
- Necessary conditions for turnpike property for generalized linear-quadratic problems
- Turnpike properties for stochastic pension fund control problems
- Long-time behaviors of stochastic linear-quadratic optimal control problems
- Turnpike property of nonzero-sum linear-quadratic differential games
- Turnpike property of a linear-quadratic optimal control problem in large horizons with regime switching. II: Nonhomogeneous cases
- Turnpike properties for stochastic linear-quadratic optimal control problems with partial observation
- Turnpike property of linear quadratic control problems with unbounded control operators
- Averaged turnpike property for differential equations with random constant coefficients
- Long-time behavior of zero-sum linear-quadratic stochastic differential games
- Periodic exponential turnpike phenomenon in mean-field stochastic linear-quadratic optimal control
- Turnpike properties for stochastic linear-quadratic optimal control problems with periodic coefficients
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