A future state estimation device comprising: a model storage unit that stores a model for simulating a simulation target and a surrounding environment of the simulation target; a future state prediction result storage unit that stores information obtained by estimating future states of the simulation target and a surrounding environment of the simulation target in infinite time or a time step ahead within finite space in a form of probability density distribution; and a future state prediction arithmetic unit (142, 152) that performs calculation equivalent to a series using a model for simulating future states of the simulation target and a surrounding environment of the simulation target in a form of probability density distribution, wherein a format of the model stored in the model storage unit is a state transition probability matrix T, and wherein the sum from the state transition probability matrix T after a lapse of time Δt to a state transition probability matrix T ∞ after time Δt×∞ elapses is taken, and weighting is performed with an attenuation rate γ according to the elapsed time Δt×∞, so that the state transition probability in consideration of elapse of time Δt×∞ is calculated within finite time, wherein the simulation target includes a control object, the future state estimation device further comprising a control law arithmetic unit that calculates an operation amount of the control object by using an estimation result of states of the simulation target and a surrounding environment of the simulation target in infinite time or an infinite step ahead estimated in the future state prediction arithmetic unit (142, 152), wherein the control object is a plant, or an automobile, and wherein the states of the simulation target include a target position, speed, temperature, pressure and flow rate. a model storage unit that stores a model for simulating a simulation target and a surrounding environment of the simulation target; a future state prediction result storage unit that stores information obtained by estimating future states of the simulation target and a surrounding environment of the simulation target in infinite time or a time step ahead within finite space in a form of probability density distribution; and a future state prediction arithmetic unit (142, 152) that performs calculation equivalent to a series using a model for simulating future states of the simulation target and a surrounding environment of the simulation target in a form of probability density distribution, wherein a format of the model stored in the model storage unit is a state transition probability matrix T, and wherein the sum from the state transition probability matrix T after a lapse of time Δt to a state transition probability matrix T ∞ after time Δt×∞ elapses is taken, and weighting is performed with an attenuation rate γ according to the elapsed time Δt×∞, so that the state transition probability in consideration of elapse of time Δt×∞ is calculated within finite time, wherein the simulation target includes a control object, the future state estimation device further comprising a control law arithmetic unit that calculates an operation amount of the control object by using an estimation result of states of the simulation target and a surrounding environment of the simulation target in infinite time or an infinite step ahead estimated in the future state prediction arithmetic unit (142, 152), wherein the control object is a plant, or an automobile, and wherein the states of the simulation target include a target position, speed, temperature, pressure and flow rate.