Binomial-tree approximation for time-inconsistent stopping

DOI10.1137/24M163668XMaRDI QIDQ6984258zbMATH OpenFDO

Authors Erhan Bayraktar, Zhenhua Wang, Zhou Zhou

Publication date 14 May 2025

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/24M163668X

zbMATH Keywords

\(\varepsilon\)-equilibriumweighted discount functionbinomial-tree approximationtime-inconsistent stopping

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of game theory (91A80) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• A deterministic linear quadratic time-inconsistent optimal control problem
• Almost strong equilibria for time-inconsistent stopping problems under finite horizon in continuous time
• Continuity and sensitivity analysis of parameterized Nash games
• Dynamic set values for nonzero-sum games with multiple equilibriums
• Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes
• Equilibrium concepts for time‐inconsistent stopping problems in continuous time
• Failure of smooth pasting principle and nonexistence of equilibrium stopping rules under time-inconsistency
• Local time pushed mixed stopping and smooth fit for time-inconsistent stopping problems
• On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems
• On the equilibrium strategies for time-inconsistent problems in continuous time
• On time-inconsistent stopping problems and mixed strategy stopping times
• Optimal equilibria for time-inconsistent stopping problems in continuous time
• Optimal stopping under model ambiguity: A time‐consistent equilibrium approach
• Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions
• Stability of Equilibria in Time-Inconsistent Stopping Problems
• Strong and weak equilibria for time-inconsistent stochastic control in continuous time
• The optimal equilibrium for time-inconsistent stopping problems -- the discrete-time case
• Time-consistent stopping under decreasing impatience
• Time-inconsistent control theory with finance applications
• Time-inconsistent recursive stochastic optimal control problems
• Time-inconsistent stopping, myopic adjustment and equilibrium stability: with a mean-variance application
• Weighted discounting -- on group diversity, time-inconsistency, and consequences for investment

This page was built for publication: Binomial-tree approximation for time-inconsistent stopping

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6984258)