Musnad Ahmad 31:730

And with this chain of narration, he said: A man migrated to the Messenger of Allah, may Allah bless him and grant him peace, from Yemen. The Messenger of Allah, may Allah bless him and grant him peace, said to him: "You have migrated from polytheism, but it is Jihad. Do you have parents in Yemen?" He said: "Yes." He said: "Did they give you permission?" He said: "No." The Messenger of Allah, may Allah bless him and grant him peace, said to him: "Return to your parents and ask their permission. If they permit you, then [go for Jihad], otherwise, be dutiful to them."