It is a prevalent idea in the public consciousness that everyone thought the war would be “over by Christmas”, but I haven’t actually seen (this may just be my ignorance of the matter) any sources from said generals saying such.

I’ll mention Lord Kitchener as an example, because I know a little about him, and a couple of sources to hand: Kitchener appeared to take a much more critical view of the nation’s prospects, saying, in a speech to the House of Lords on the 25th August 1914, on limit on his role as Secretary of State for War “my occupation of the post…is a temporary one…that is to say, for the war, or, if it last longer, then for three years. It is to be asked why the latter limit has been fixed. It is because should this disastrous war be prolonged – and no one can foretell with any certainty its duration – then after three years’ war there will be others fresh and fully prepared to take our places and see this matter through”

Similarly, he seems to have recognised the struggle to be expected from fighting the main deployment of an enemy at least as technologically advanced as themselves (from the same speech): “It will undoubtedly strain the resources of our Empire and entail considerable sacrifices on our people” and later, as a closing remark “But if the war should be protracted, and if its fortunes should be varied or adverse, exertions and sacrifices beyond any which have been demanded [previously?]will be required from the whole nation and the Empire”.

Gordon Corrigan (himself a former soldier) states in his book “Mud, blood and poppycock” that “Kitchener was well aware, long before any politician came to accept it, that this would be a long war, and Britain would have to field an army larger than any in her history”.

However, Corrigan also mentions briefly, in terms of the general relationship between Kitchener and General French: “Kitchener and French, commander in chief BEF, had argued over the likely duration of the war” (sorry, I don’t have any more information on that point, he leaves it at that, and provides no source; I might try and look for a source later), so it may be (again, I haven’t delved too far into this yet) that there were differing views amongst the British (and I can’t speak for the other combative nations) high command structures as to the war’s length.

So, returning to your question, there were at least some voices at the top of at least one of the major powers who expected (or feared) that the war would drag on; Kitchener had serious doubts, and (I’ll try and find some sources for you) I understand it that Haig was also expecting a war of much greater duration than that suggested from modern, popular notions. IN any case, the speech of the 25th August is hardly one of a Secretary of War expecting a total and glorious victory (British troops having at that point having been engaged with the Germans for all of thirty hours).

Actually there were people at the time who believed that the war would last for decades and drain the entire world's resources. But the prevailing theory was that the war would be brief.

The general idea was that wars were always supposed to be short affairs. You penetrate deep into your enemy's territory, or lay siege to their capital or key ports, and then you make them sign a peace treaty with really unfavourable terms, essentially making them a vassal state.

Germany never planned on "taking over the world" in 1914. Their plan was to shift the balance of European power in their favour and also break out of the "encirclement" of France, Russia and England. Their plan was to make a huge double-envelopment of the French forces using superior numbers and mobilization and force their surrender by occupying Paris. Basically a repeat of the 1871 victory when Germany captured Alsace-Lorraine.

The French thought that their strategy of "offence à l'outrance" (unwavering attack) and adding reserves to their regular corps would give them the edge they needed to repel the invading Germans. They planned to crush the attacking soldiers and move in to retake the lost regions from 1871.

The British thought they would be able to repel any forces from Belgium/Netherlands with a small expeditionary force of 4-6 divisions. They assumed the Germans would not go that deep into the neutral territories, and they would be easily pushed back before Christmas.

Of course, nations are always preparing and drilling for the last war, which was 50 years earlier. The advances in machine guns and artillery basically made cavalry obsolete, and on August 1st there were actually still cavalry troops. No one expected the level of brutality that the front lines would create, and no one was able to gain any ground before they started digging trenches to avoid the constant artillery.

Source: The Guns of August by Barbara Tuchman