On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems

DOI10.1137/17M1153029zbMath1429.60043arXiv1709.05181WikidataQ128860654 ScholiaQ128860654MaRDI QIDQ4556904

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Publication date: 28 November 2018

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

Full work available at URL: https://arxiv.org/abs/1709.05181

zbMATH Keywords

variational inequalitiesoptimal stoppingMarkov processtime-inconsistencysubgame perfect Nash equilibriumStrotz-Pollak's consistent planning

Mathematics Subject Classification ID

Noncooperative games (91A10) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Dynamic games (91A25) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Dynamic stochastic general equilibrium theory (91B51)

Related Items (28)

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