Stochastic maximum principle for time-changed forward-backward stochastic control problem with Lévy noise
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2026
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| _version_ | 1866908915707412480 |
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| author | Chen, Jingwei Ye, Jun Chen, Feng |
| author_facet | Chen, Jingwei Ye, Jun Chen, Feng |
| contents | This paper establishes a stochastic maximum principle for optimal control problems governed by time-changed forward-backward stochastic differential equations with Lévy noise. The system incorporates a random, non-decreasing operational time (the inverse of an $α$-stable subordinator) to model phenomena like trapping events and subdiffusion. Using a duality transformation and the convex variational method, we derive necessary and sufficient conditions for optimality, expressed through a novel set of adjoint equations. Finally, the theoretical results are applied to solve an explicit cash management problem under stochastic recursive utility. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2603_25486 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Stochastic maximum principle for time-changed forward-backward stochastic control problem with Lévy noise Chen, Jingwei Ye, Jun Chen, Feng Optimization and Control Probability This paper establishes a stochastic maximum principle for optimal control problems governed by time-changed forward-backward stochastic differential equations with Lévy noise. The system incorporates a random, non-decreasing operational time (the inverse of an $α$-stable subordinator) to model phenomena like trapping events and subdiffusion. Using a duality transformation and the convex variational method, we derive necessary and sufficient conditions for optimality, expressed through a novel set of adjoint equations. Finally, the theoretical results are applied to solve an explicit cash management problem under stochastic recursive utility. |
| title | Stochastic maximum principle for time-changed forward-backward stochastic control problem with Lévy noise |
| topic | Optimization and Control Probability |
| url | https://arxiv.org/abs/2603.25486 |