Turnpike Properties for Mean-Field Linear-Quadratic Optimal Control Problems
Jingrui Sun, Jiongmin Yong
Abstract
.This paper is concerned with an optimal control problem for a mean-field linear stochastic differential equation with a quadratic functional in the infinite time horizon. Under suitable conditions, including the stabilizability, the (strong) exponential, integral, and mean-square turnpike properties for the optimal pair are established. The keys are to correctly formulate the corresponding static optimization problem and find the equations determining the correction processes. These have revealed the main feature of the stochastic problems which are significantly different from the deterministic version of the theory.Keywordsstrong turnpike propertymean-fieldstochastic optimal controllinear-quadraticstatic optimizationstabilizabilityRiccati equationMSC codes49N1049N8093E1593E20