Long-Time Behaviors of Stochastic Linear-Quadratic Optimal Control Problems

Prof. Qingshuo Song
Associate professor
Worcester Polytechnic Institute

In this talk, we will discuss the asymptotic behavior of the solution to a linear-quadratic stochastic optimal control problems. By establishing a connection between the ergodic cost problem and the so-called cell problem in the homogenization of Hamilton-Jacobi equations, we reveal the turnpike properties of the linear-quadratic stochastic optimal control problems from various perspectives.