Nonlinear PDE Approach to Time-Inconsistent Optimal Stopping

DOI10.1137/15M1047064zbMath1360.60089arXiv1510.05766OpenAlexW2963001048MaRDI QIDQ2968547

Christopher W. Miller

Publication date: 17 March 2017

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.05766

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic optimal controlsequential optimizationnonlinear optimal stoppingtime-inconsistency

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Existence of optimal solutions to problems involving randomness (49J55) Viscosity solutions to PDEs (35D40)

Related Items (12)

On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems ⋮ A dynamic programming approach to distribution-constrained optimal stopping ⋮ Optimal Control of Conditional Value-at-Risk in Continuous Time ⋮ Optimal stopping with expectation constraints ⋮ Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes ⋮ Dynamic approaches for some time-inconsistent optimization problems ⋮ A solution method for heterogeneity involving present bias ⋮ A verification theorem for optimal stopping problems with expectation constraints ⋮ Distribution‐constrained optimal stopping ⋮ On time-inconsistent stopping problems and mixed strategy stopping times ⋮ On the Compensator in the Doob--Meyer Decomposition of the Snell Envelope ⋮ Stopping with expectation constraints: 3 points suffice

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