{"ID":2921653,"CreatedAt":"2026-06-02T02:42:49.606572591Z","UpdatedAt":"2026-06-03T05:56:00.181519634Z","DeletedAt":null,"paper_url":"https://arxiv.org/abs/2606.01122","arxiv_id":"2606.01122","title":"A Per-Component Diagnostic Protocol for Neural HJB-PIDE Solvers under Control-Dependent Lévy Jumps","abstract":"We propose a five-step diagnostic protocol for residual-trained neural HJB-PIDE solvers with control-dependent Lévy jumps, targeting a general failure mode of neural PDE methods: a learned solution can match headline scalar diagnostics while miscomputing an operator inside its training loss. The protocol pairs each neural solve with at least one from-scratch independent reference, decomposes the Hamiltonian into drift, diffusion, compensator, and nonlocal-integral components across a u-grid, and compares the value function and its low-order derivatives over a (t,x) grid before any argmax comparison. Applied to a standard CRRA-Merton-Variance-Gamma benchmark, it isolates a missing 1/2-mixture factor in the neural method's importance-proposal density that scaled the nonlocal integral by exactly half - a textbook signature of a constant proposal scale error, invisible to longer training, grid refinement, and truncation sweeps. With the bug corrected, four references - two finite-difference solvers with disjoint discretizations, the neural solver, and a semi-analytic scalar baseline obtained from CRRA homogeneity - agree on the optimal control to within ~2%. The constant-coefficient CRRA benchmark collapses by homogeneity to a scalar maximization, so the scalar baseline is the efficient method here; the contribution is the protocol, applicable in principle to non-homogeneous and higher-dimensional settings where neural HJB-PIDE solvers are genuinely needed. The episode is a concrete instance of a broader neural-PDE verification failure: pointwise agreement of a learned value or control can coexist with a systematically wrong nonlocal operator, so per-component and surface-level checks are needed before trusting the argmax policy.","short_abstract":"We propose a five-step diagnostic protocol for residual-trained neural HJB-PIDE solvers with control-dependent Lévy jumps, targeting a general failure mode of neural PDE methods: a learned solution can match headline scalar diagnostics while miscomputing an operator inside its training loss. The protocol pairs each neu...","url_abs":"https://arxiv.org/abs/2606.01122","url_pdf":"https://arxiv.org/pdf/2606.01122v1","authors":"[\"R. Drissi\"]","published":"2026-05-31T09:44:28Z","proceeding":"cs.LG","tasks":"[\"cs.LG\",\"q-fin.CP\"]","methods":"[\"Diffusion Model\"]","has_code":false}