Optimal Equilibria for Multidimensional Time-Inconsistent Stopping Problems
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Publication:4990322
DOI10.1137/20M1343774zbMath1481.60083arXiv2006.00754OpenAlexW3157574658MaRDI QIDQ4990322
Publication date: 28 May 2021
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2006.00754
optimal stoppingtime inconsistencyprobabilistic potential theoryoptimal equilibrianonexponential discounting
Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic potential theory (60J45) Financial applications of other theories (91G80)
Related Items (9)
A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria ⋮ Time Inconsistency, Precommitment, and Equilibrium Strategies for a Stackelberg Game ⋮ Stability of Equilibria in Time-Inconsistent Stopping Problems ⋮ Optimal stopping and impulse control in the presence of an anticipated regime switch ⋮ Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes ⋮ Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions ⋮ Equilibrium investment with random risk aversion ⋮ On the Equilibrium Strategies for Time-Inconsistent Problems in Continuous Time ⋮ Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions
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