Time-inconsistent mean-field optimal stopping: a limit approach (Q6115683)

The primary objective of this paper is to characterize an optimal stopping time for a specific class of time-inconsistent optimal stopping problems (OSPs) with a mean-field structure and finite time horizons (cf. [\textit{C. Bertucci}, J. Math. Pures Appl. (9) 120, 165--194 (2018; Zbl 1406.35448); \textit{R. Carmona} and \textit{F. Delarue}, Probabilistic theory of mean field games with applications I. Mean field FBSDEs, control, and games. Cham: Springer (2018; Zbl 1422.91014)]). The study, which is based on Brownian filtration, addresses issues related to mean-field diffusion processes and recursive utility functions. Despite the time-inconsistency inherent in the OSP, the research establishes that the optimal strategy is to stop when the value process intersects the reward process for the first time, mirroring the behavior of standard time-consistent OSPs. Using a sequence of Snell envelopes of processes to approximate the corresponding value process, the article derives a series of optimal stopping times. Furthermore, under reasonable assumptions, the study shows that this sequence of hitting times converges in probability to the optimal hitting time for the mean-field OSP.