| Issue |
ESAIM: COCV
Volume 32, 2026
|
|
|---|---|---|
| Article Number | 43 | |
| Number of page(s) | 28 | |
| DOI | https://doi.org/10.1051/cocv/2026025 | |
| Published online | 06 May 2026 | |
Turnpike property of a linear-quadratic optimal control problem in large horizons with regime switching II: nonhomogeneous cases
1
Department of Mathematics and Statistics, Texas Tech University,
Lubbock,
TX
79409,
USA
2
Department of Mathematics and Statistics, Texas Tech University,
Lubbock,
TX
79409,
USA
3
Department of Mathematics, University of Central Florida,
Orlando,
FL
32816,
USA
* Corresponding author: This email address is being protected from spambots. You need JavaScript enabled to view it.
Received:
26
August
2025
Accepted:
25
March
2026
Abstract
This paper is concerned with an optimal control problem for a nonhomogeneous linear stochastic differential equation having regime switching with a quadratic functional in the large time horizon. This is a continuation of the paper [H. Mei, R. Wang and J. Yong, Turnpike property of stochastic linear-quadratic optimal control problems in large horizons with regime switching. I. Homogeneous cases. preprint], in which the strong turnpike property was established for homogeneous linear systems with purely quadratic cost functionals. We extend the results to the current situation. It turns out that some of the results are new even for the cases without regime switchings.
Mathematics Subject Classification: 35K52 / 49K20 / 49N90 / 93C20
Key words: Turnpike property / nonhomogeneous system with regime switching / stochastic optimal control / linearquadratic problems stabilizability / Riccati equation
© The authors. Published by EDP Sciences, SMAI 2026
This is an Open Access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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