报告题目：Long-Time Behavior of Optimal Control for Stochastic LQ Problems

报告人：孙景瑞，副研究员、助理教授，南方科技大学

邀请人： 王世花

报告时间：11月14日（周二）16:00 --17:30

报告地点：腾讯会议：954-313-464 会议密码：123456

报告人简介：孙景瑞，南方科技大学助理教授，国家级青年人才。2015年在中国科学技术大学取得博士学位，2015.4至2019.2先后在香港理工大学、新加坡国立大学、中佛罗里达大学从事科研教学工作，2019年2月加盟南方科技大学数学系，任副研究员。

2019年获得深圳市海外高层次人才“孔雀计划”C类称号，2023年独立获得由SIAM (美国工业与应用数学学会)颁发的"SIAG/CST Best SICON Paper Prize"。主持国自然面上项目、国自然青年科学基金项目、广东省自然科学基金面上项目、深圳市自然科学基金面上项目各1项，参与国家重点研发计划项目1项，是深圳市未来工业互联网安全保障重点实验室核心成员。

研究领域为随机控制及其应用。在Springer出版专著2部，在SIAM Journal on Control and Optimization、Annals of Applied Probability、ESAIM: Control, Optimisation and Calculus of Variations、Stochastic Processes and their Applications、Journal of Differential Equations等世界一流学术期刊发表学术论文20余篇。

报告摘要：The turnpike property refers to the phenomenon that in many optimal control problems over finite but long-time horizon, optimal trajectories approach to a steady state of the system and stay close to it for the major part of the time horizon. In the past several decades, the turnpike properties have attracted extensive attentions in control theory. Numerous results have been established for deterministic optimal control problems of both finite and infinite dimensions. However, the study of turnpike phenomena for stochastic optimal control is quite lacking in literature. In this talk, we discuss the turnpike properties for stochastic linear-quadratic optimal control problems. Under suitable conditions, we establish the strong exponential, the strong integral, and the mean-square turnpike properties for stochastic LQ problems. The crucial issues are to correctly formulate the corresponding static optimization problem and find the correction processes, which illustrate the essential differences between stochastic and deterministic cases.