Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes

DOI10.1111/mafi.12385zbMath1529.91066arXiv2201.07659OpenAlexW4362576996MaRDI QIDQ6146676

Zhou Zhou, Zhen-Hua Wang, Erhan Bayraktar

Publication date: 31 January 2024

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2201.07659

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Optimal stopping and impulse control in the presence of an anticipated regime switch ⋮ Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions

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