On time-inconsistent stopping problems and mixed strategy stopping times

DOI10.1016/j.spa.2019.08.010zbMath1435.60029arXiv1804.07018OpenAlexW2797384194WikidataQ127286591 ScholiaQ127286591MaRDI QIDQ2309591

Yanyan Li

Publication date: 1 April 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.07018

zbMATH Keywords

optimal stoppingmixed strategiesCox processmean-variance criteriontime-inconsistencysubgame perfect Nash equilibrium

Mathematics Subject Classification ID

Noncooperative games (91A10) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Dynamic games (91A25) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Dynamic stochastic general equilibrium theory (91B51)

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