Infinite horizon stochastic optimal control with sign-changing discount factor
arXiv:2607.13547
summary
The paper analyzes an infinite‑horizon stochastic optimal control problem where the discount factor can be positive or negative depending on the state, using the associated Hamilton‑Jacobi‑Bellman partial differential equation.
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.
Topics & keywords
#stochastic optimal control#infinite horizon#sign‑changing discount factor#hamilton‑jacobi‑bellman equation#partial differential equationsHamilton-Jacobi-Bellmandiscount factorstochastic controlinfinite horizonviscosity solutions