Abstract
We consider a stochastic control problem with time-inhomogeneous linear dynamics and a long-term average quadratic cost functional. We provide sufficient conditions for the problem to be well-posed. We describe an explicit optimal control in terms of a bounded and non-negative solution of a Riccati equation on [0, infty ), without an initial and terminal condition. We show that, in contrast to the time-homogeneous case, in the inhomogeneous case the optimally controlled state dynamics are not necessarily ergodic.
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