Constrained Stochastic LQ Optimal Control Problem with Random Coefficients on Infinite Time Horizon

Abstract

In this paper we study a control-constrained stochastic LQ optimal control problem with random coefficients on the infinite time horizon. For this, two generalized infinite time horizon stochastic Riccati equations are introduced to give the explicit optimal control and optimal cost. Finally, the control problem of pension fund with DB scheme is presented to demonstrate the application of our study as an example.