Work

A global stochastic maximum principle for forward-backward stochastic control systems with quadratic convex generator and unbounded terminal condition

Year: 2026

Type: preprint

Abstract: In this paper, we study a stochastic optimal control problem for forward-backward stochastic control systems with quadratic convex generator and unbounded terminal condition, where the control domain is not necessarily convex. Since the existing bounded mean oscillation (BMO) martingale approach used in the setting of quadratic BSDEs with bounded terminal conditions is not directly applicable to the present setting, we introduce a new probability measure, under which all subsequent analysis is then carried out. Finally, a global stochastic maximum principle is obtained.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.2609.21451

Authors: Hu, Ying, Li, Feng, Wen, Jiaqiang

Institutions: Centre National de la Recherche Scientifique, Institut de recherche mathématique de Rennes, Université de Rennes, Southern University of Science and Technology

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: Agence Nationale de la Recherche, National Natural Science Foundation of China, China Scholarship Council, Basic and Applied Basic Research Foundation of Guangdong Province

Awards: G1358168916, Centre de Mathématiques Henri Lebesgue : fondements, interactions, applications et Formation, Control and simulAtion of Electrical Systems, interAction and RobustnesS, G7323191876

OpenAlex ID: W7213947722

Cites: 3

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