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Local Time Pushed M...
Local Time Pushed Mixed Equilibrium Strategies for Time-Inconsistent Stopping Problems
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- Bodnariu, Andi (författare)
- Stockholms universitet,Matematiska institutionen
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Christensen, Sören (författare)
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- Lindensjö, Kristoffer, 1979- (författare)
- Stockholms universitet,Matematiska institutionen
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(creator_code:org_t)
- 2024
- 2024
- Engelska.
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Ingår i: SIAM Journal of Control and Optimization. - 0363-0129 .- 1095-7138. ; 62:2, s. 1261-1290
- Relaterad länk:
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https://urn.kb.se/re...
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visa fler...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- We consider the game-theoretic approach to time-inconsistent stopping of a onedimensional diffusion where the time-inconsistency is due to the presence of a nonexponential (weighted) discount function. In particular, we study (weak) equilibria for this problem in a novel class of mixed (i.e., randomized) stopping times based on a local time construction of the stopping intensity. For a general formulation of the problem we provide a verification theorem giving sufficient conditions for mixed (and pure) equilibria in terms of a set of variational inequalities, including a smooth fit condition. We apply the theory to prove the existence of (mixed) equilibria in a recently studied real options problem in which no pure equilibria exist.
Ämnesord
- TEKNIK OCH TEKNOLOGIER -- Elektroteknik och elektronik (hsv//swe)
- ENGINEERING AND TECHNOLOGY -- Electrical Engineering, Electronic Engineering, Information Engineering (hsv//eng)
- NATURVETENSKAP -- Matematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics (hsv//eng)
Nyckelord
- time -inconsistent stopping
- randomized/mixed stopping times
- stochastic dynamic
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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