Failure of Smooth Pasting Principle and Nonexistence of Equilibrium Stopping Rules under Time-Inconsistency

DOI10.1137/19M1291339zbMath1476.91223arXiv1807.01785OpenAlexW3208873950MaRDI QIDQ5163688

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Publication date: 5 November 2021

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1807.01785

zbMATH Keywords

optimal stoppingreal optionstime-inconsistencysmooth pastingintrapersonal gameequilibrium stoppingweighted discount function

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Corporate finance (dividends, real options, etc.) (91G50)

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Time Inconsistency, Precommitment, and Equilibrium Strategies for a Stackelberg Game, Stability of Equilibria in Time-Inconsistent Stopping Problems, On the Time-Inconsistent Deterministic Linear-Quadratic Control, Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents, PORTFOLIO CHOICE WITH TIME HORIZON RISK, Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes, Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions, Optimal Stopping for Exponential Lévy Models with Weighted Discounting, Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions

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