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Presented By: Financial/Actuarial Mathematics Seminar - Department of Mathematics

Long-time behaviors of stochastic linear-quadratic optimal control problems.

Jian Jiamin

This paper investigates the asymptotic behavior of the 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.

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