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.
Co-Sponsored By
Explore Similar Events
-
Loading Similar Events...