Turnpike Property of a Linear-Quadratic Optimal Control Problem in Large Horizons with Regime Switching II: Non-Homogeneous Cases
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 \cite{Mei-Wang-Yong-2025}, 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.