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Turnpike properties for stochastic linear–quadratic optimal control problems with partial observation

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  • Hu, Ruizhe
  • Wu, Huojun

Abstract

This paper establishes the strong exponential turnpike property for a partially observed stochastic linear–quadratic optimal control problem. We apply an orthogonal decomposition method to decouple the system into filtering and difference processes. Under standard stabilizability and detectability conditions, the convergence of the difference process is proven, leading to the exponential turnpike property with explicitly characterized decay rates. These rates are shown to be governed by the convergence rate between the two decoupled processes.

Suggested Citation

  • Hu, Ruizhe & Wu, Huojun, 2026. "Turnpike properties for stochastic linear–quadratic optimal control problems with partial observation," Statistics & Probability Letters, Elsevier, vol. 233(C).
    • Handle: RePEc:eee:stapro:v:233:y:2026:i:c:s0167715226000246
    DOI: 10.1016/j.spl.2026.110660
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