A global stochastic maximum principle for delayed forward-backward stochastic control systems

Feng Li

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arXiv · 2601.14138

A global stochastic maximum principle for delayed forward-backward stochastic control systems

Feng Li

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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 $y^\e - y^*$.

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Feng Li. 2026-01-20. A global stochastic maximum principle for delayed forward-backward stochastic control systems. https://arxiv.org/abs/2601.14138

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