Turnpike Properties for Stochastic Linear-Quadratic Optimal Control Problems

Abstract: This paper analyzes the limiting behavior of stochastic linear-quadratic optimal control problems in finite time horizon $[0,T]$ as $T\rightarrow\infty$. The so-called turnpike properties are established for such problems, under stabilizability condition which is weaker than the controllability, normally imposed in the similar problem for ordinary differential systems. In dealing with the turnpike problem, a crucial issue is to determine the corresponding static optimization problem. Intuitively mimicking deterministic situations, it seems to be natural to include both the drift and the diffusion as constraints in the static optimization problem. However, this would lead us to a wrong direction. It is found that the correct static problem should contain the diffusion as a part of the objective function, which reveals a deep feature of the stochastic turnpike problem.