Sökning: onr:"swepub:oai:DiVA.org:su-181961" >
On time-inconsisten...
On time-inconsistent stopping problems and mixed strategy stopping times
-
Christensen, Sören (författare)
-
- Lindensjö, Kristoffer (författare)
- Stockholms universitet,Matematiska institutionen
-
(creator_code:org_t)
- Elsevier BV, 2020
- 2020
- Engelska.
-
Ingår i: Stochastic Processes and their Applications. - : Elsevier BV. - 0304-4149 .- 1879-209X. ; 130:5, s. 2886-2917
- Relaterad länk:
-
http://arxiv.org/pdf...
-
visa fler...
-
https://urn.kb.se/re...
-
https://doi.org/10.1...
-
visa färre...
Abstract
Ämnesord
Stäng
- 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
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
Hitta via bibliotek
Till lärosätets databas