On time-inconsistent stopping problems and mixed strategy stopping times

• A game-theoretic framework for time-inconsistent stopping problems where the time-inconsistency is due to the consideration of a non-linear function of an expected reward is developed. A class of mixed strategy stopping times that allows the agents in the game to jointly choose the intensity function of a Cox process is introduced and motivated. A subgame perfect Nash equilibrium is defined. The equilibrium is characterized and other necessary and sufficient equilibrium conditions including a smooth fit result are proved. Existence and uniqueness are investigated. A mean-variance and a variance problem are studied. The state process is a general one-dimensional Ito diffusion.

Ämnesord

NATURVETENSKAP  -- Matematik (hsv//swe)

NATURAL SCIENCES  -- Mathematics (hsv//eng)

Nyckelord

Cox process

Mean-variance criterion

Mixed strategies

Optimal stopping

Subgame perfect nash equilibrium

Time-inconsistency

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