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hamilton-jacobi-bellman equation 1infinite horizon 1partial differential equations 1sign-changing discount factor 1stochastic optimal control 1

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math.OC2026

Infinite horizon stochastic optimal control with sign-changing discount factor

Charles Bertucci, Jean-Michel Lasry, Pierre-Louis Lions

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 Hamilto…