A global stochastic maximum principle for delayed forward-backward stochastic control systems
Fuente:
arXiv
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| Main Author: | |
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| Format: | Preprint |
| Published: |
2026
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| _version_ | 1866911387320582144 |
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| author | Li, Feng |
| author_facet | Li, Feng |
| contents | In this paper, we study a delayed forward-backward stochastic control system in which all the coefficients depend on the state and control terms, and the control domain is not necessarily convex. A global stochastic maximum principle is obtained by using a new method. More precisely, this method introduces first-order and second-order auxiliary equations and offers a novel approach to deriving the adjoint equations as well as the variational equation for $y^\e - y^*$. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2601_14138 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | A global stochastic maximum principle for delayed forward-backward stochastic control systems Li, Feng Optimization and Control In this paper, we study a delayed forward-backward stochastic control system in which all the coefficients depend on the state and control terms, and the control domain is not necessarily convex. A global stochastic maximum principle is obtained by using a new method. More precisely, this method introduces first-order and second-order auxiliary equations and offers a novel approach to deriving the adjoint equations as well as the variational equation for $y^\e - y^*$. |
| title | A global stochastic maximum principle for delayed forward-backward stochastic control systems |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2601.14138 |