Stability of Equilibria in Time-Inconsistent Stopping Problems

DOI10.1137/22M1496955MaRDI QIDQ5889018zbMATH OpenFDO

Authors Erhan Bayraktar, Zhenhua Wang, Zhou Zhou

Publication date 26 April 2023

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

Full work available at URL https://arxiv.org/abs/2205.08656

zbMATH Keywords

\(\varepsilon\)-equilibriaoptimal equilibriumoptimal stoppingstabilitytime-inconsistency

Mathematics Subject Classification ID

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

Recommendations

• Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions
• Optimal equilibria for time-inconsistent stopping problems in continuous time
• Time-inconsistent stopping, myopic adjustment and equilibrium stability: with a mean-variance application
• The optimal equilibrium for time-inconsistent stopping problems -- the discrete-time case
• Optimal equilibria for multidimensional time-inconsistent stopping problems

Cites work

• A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria
• Dynamic set values for nonzero-sum games with multiple equilibriums
• Equilibrium concepts for time‐inconsistent stopping problems in continuous time
• Failure of smooth pasting principle and nonexistence of equilibrium stopping rules under time-inconsistency
• General stopping behaviors of naïve and noncommitted sophisticated agents, with application to probability distortion
• On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems
• On the equilibrium strategies for time-inconsistent problems in continuous time
• On time-inconsistent stochastic control in continuous time
• On time-inconsistent stopping problems and mixed strategy stopping times
• Optimal equilibria for multidimensional time-inconsistent stopping problems
• Optimal equilibria for time-inconsistent stopping problems in continuous time
• Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time
• Optimal stopping under model ambiguity: A time‐consistent equilibrium approach
• Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions
• Strong and weak equilibria for time-inconsistent stochastic control in continuous time
• 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
• Time-consistent stopping under decreasing impatience
• Time-inconsistent control theory with finance applications
• Time-inconsistent stopping, myopic adjustment and equilibrium stability: with a mean-variance application

Cited in

(8)

• Optimal equilibria for multidimensional time-inconsistent stopping problems
• Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions
• Stability of Equilibria in Time-inconsistent Stopping Problems
• Sharp equilibria for time-inconsistent mean-field stopping games
• Almost strong equilibria for time-inconsistent stopping problems under finite horizon in continuous time
• Portfolio time consistency and utility weighted discount rates
• Binomial-tree approximation for time-inconsistent stopping
• Equilibrium strategies for singular dividend control problems under the mean-variance criterion

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