Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions

DOI10.1137/22M1510005MaRDI QIDQ5872881zbMATH OpenOpenAlexFDO

Authors Erhan Bayraktar, Zhenhua Wang, Zhou Zhou

Publication date 4 January 2023

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2207.08158

zbMATH Keywords

stabilitytime-inconsistencyoptimal equilibrium\(\varepsilon\)-equilibria

Mathematics Subject Classification ID

Methods involving semicontinuity and convergence; relaxation (49J45) Sensitivity, stability, well-posedness (49K40) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Equilibrium refinements (91A11)

Abstract: We investigate the stability of the equilibrium-induced optimal value in one-dimensional diffusion setting for a time-inconsistent stopping problem under non-exponential discounting. We show that the optimal value is semi-continuous with respect to the drift, volatility, and reward function. An example is provided showing that the exact continuity may fail. With equilibria extended to $varepsilon$-equilibria, we establish the relaxed continuity of the optimal value.

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Cites work

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Cited in

(4)

• Stability of Equilibria in Time-Inconsistent Stopping Problems
• The intrinsic qualitative properties of the classical optimal stopping problem are invariant to the functional form of the discount function
• Almost strong equilibria for time-inconsistent stopping problems under finite horizon in continuous time
• Binomial-tree approximation for time-inconsistent stopping

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