Maximum principle for discrete-time stochastic recursive games driven by fractional noises

Yuecai Han; Yuhang Li; Chenfei Wang

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arXiv · 2611.00740

Maximum principle for discrete-time stochastic recursive games driven by fractional noises

Yuecai Han·Yuhang Li·Chenfei Wang

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Abstract

This paper investigates discrete-time stochastic recursive games driven by fractional noises, in which the cost functional is defined through a backward stochastic difference equation. By introducing discrete-time adjoint equations, we establish a maximum principle and the verification theorem for open-loop Nash equilibria in non-zero sum and zero sum stochastic recursive game problems. The effectiveness of our theorem is demonstrated through applications to two different linear-quadratic stochastic recursive games and a portfolio selection problem with a recursive utility functional.

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Yuecai Han, Yuhang Li, Chenfei Wang. 2026-10-31. Maximum principle for discrete-time stochastic recursive games driven by fractional noises. https://arxiv.org/abs/2611.00740

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