Infinite horizon stochastic optimal control with sign-changing discount factor
Optimization and Control
2026-07-15 v1
Abstract
We study an infinite horizon stochastic optimal control problem by means of the associated Hamilton-Jacobi-Bellman equation. The problem we are studying has the particularity of having a discount factor which can take both signs, depending on the value of the state.
Keywords
Cite
@article{arxiv.2607.13547,
title = {Infinite horizon stochastic optimal control with sign-changing discount factor},
author = {Charles Bertucci and Jean-Michel Lasry and Pierre-Louis Lions},
journal= {arXiv preprint arXiv:2607.13547},
year = {2026}
}