Optimal equilibria for time-inconsistent stopping problems in continuous time
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Publication:5855950
DOI10.1111/MAFI.12229OpenAlexW2983908971WikidataQ126836763 ScholiaQ126836763MaRDI QIDQ5855950FDOQ5855950
Authors: Yu-Jui Huang, Zhou Zhou 
Publication date: 23 March 2021
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1712.07806
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Stopping times; optimal stopping problems; gambling theory (60G40) Actuarial science and mathematical finance (91G99)
Cited In (30)
- On time-inconsistent stopping problems and mixed strategy stopping times
- Time-inconsistent mean-field optimal stopping: a limit approach
- The optimal equilibrium for time-inconsistent stopping problems -- the discrete-time case
- Time consistent stopping for the mean-standard deviation problem -- the discrete time case
- Optimal equilibria for multidimensional time-inconsistent stopping problems
- On the equilibrium strategies for time-inconsistent problems in continuous time
- Who are I: time inconsistency and intrapersonal conflict and reconciliation
- Equilibrium investment with random risk aversion
- Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions
- A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria
- Optimal Stopping for Exponential Lévy Models with Weighted Discounting
- Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time
- Failure of smooth pasting principle and nonexistence of equilibrium stopping rules under time-inconsistency
- Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions
- Stability of Equilibria in Time-Inconsistent Stopping Problems
- Local time pushed mixed stopping and smooth fit for time-inconsistent stopping problems
- Optimal stopping under model ambiguity: A time‐consistent equilibrium approach
- Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents
- Optimal stopping and impulse control in the presence of an anticipated regime switch
- Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes
- Conditional optimal stopping: a time-inconsistent optimization
- Almost strong equilibria for time-inconsistent stopping problems under finite horizon in continuous time
- Refined Solutions of Time Inhomogeneous Optimal Stopping Games via Dirichlet Form
- Equilibria for time-inconsistent singular control problems
- Discontinuous solutions of deterministic optimal stopping time problems
- On the time consistent solution to optimal stopping problems with expectation constraint
- Time-inconsistent stopping, myopic adjustment and equilibrium stability: with a mean-variance application
- Equilibrium concepts for time‐inconsistent stopping problems in continuous time
- Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping
- Optimal Equilibria for Time-Inconsistent Stopping Problems in Continuous Time
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