{"ID":2869062,"CreatedAt":"2026-06-01T04:54:23.091178241Z","UpdatedAt":"2026-06-01T04:54:23.091178241Z","DeletedAt":null,"paper_url":"https://arxiv.org/abs/2509.14495","arxiv_id":"2509.14495","title":"A Time-Inconsistent Stochastic Optimal Control Problem in an Infinite Time Horizon","abstract":"This paper is concerned with a time-inconsistent stochastic optimal control problem in an infinite time horizon with a non-degenerate diffusion in the state equation. A major assumption is that people become rational after a large time. Under such a condition, the problem in an infinite time horizon can be decomposed into two parts: a non-autonomous time-consistent problem in an infinite time horizon and a time-inconsistent problem in a finite time horizon. Then an equilibrium strategy will be constructed. Both Bolza type problem and recursive cost problem are considered.","short_abstract":"This paper is concerned with a time-inconsistent stochastic optimal control problem in an infinite time horizon with a non-degenerate diffusion in the state equation. A major assumption is that people become rational after a large time. Under such a condition, the problem in an infinite time horizon can be decomposed i...","url_abs":"https://arxiv.org/abs/2509.14495","url_pdf":"https://arxiv.org/pdf/2509.14495v1","authors":"[\"Qingmeng Wei\",\"Jiongmin Yong\"]","published":"2025-09-18T00:07:30Z","proceeding":"math.OC","tasks":"[\"math.OC\"]","methods":"[\"Diffusion Model\"]","has_code":false}