Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes
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Publication:6146676
Abstract: We consider three equilibrium concepts proposed in the literature for time-inconsistent stopping problems, including mild equilibria, weak equilibria and strong equilibria. The discount function is assumed to be log sub-additive and the underlying process is one-dimensional diffusion. We first provide necessary and sufficient conditions for the characterization of weak equilibria. The smooth-fit condition is obtained as a by-product. Next, based on the characterization of weak equilibria, we show that an optimal mild equilibrium is also weak. Then we provide conditions under which a weak equilibrium is strong. We further show that an optimal mild equilibrium is also strong under a certain condition. Finally, we provide several examples including one shows a weak equilibrium may not be strong, and another one shows a strong equilibrium may not be optimal mild.
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Cited in
(8)- Optimal stopping and impulse control in the presence of an anticipated regime switch
- Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions
- Local time pushed mixed stopping and smooth fit for time-inconsistent stopping problems
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