Ergodic Approach for Turnpike using HJB equation

Monday, June 18th, 2018
10:00-11:00, TIMON Room at DeustoTech

Hicham Kouhkouh

Paris-Sud University (Paris, France)

We shall prove for LQ optimal problem that the asymptotic behavior of the value function writes as a quadratic function in space and a linear function in time. We will describe the behavior of level sets of the latter and withdraw some turnpike properties in this setting.