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math.OC2024
Non-homogeneous stochastic linear-quadratic optimal control problems with multi-dimensional state and regime switching
Yuyang Chen, Peng Luo
In this paper, we study non-homogeneous stochastic linear-quadratic (LQ) optimal control problems with multi-dimensional state and regime switching. We focus on the corresponding s…
math.OC2023★ 1 cited
Turnpike properties for stochastic backward linear-quadratic optimal problems
Yuyang Chen, Peng Luo
This paper deals with the long time behavior of the optimal solution of stochastic backward linear-quadratic optimal control problem over the finite time horizon. Both weak and str…