A global stochastic maximum principle for delayed forward-backward stochastic control systems
Optimization and Control
2026-01-21 v1
Abstract
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 .
Cite
@article{arxiv.2601.14138,
title = {A global stochastic maximum principle for delayed forward-backward stochastic control systems},
author = {Feng Li},
journal= {arXiv preprint arXiv:2601.14138},
year = {2026}
}