On time-inconsistent stopping problems and mixed strategy stopping times
Optimization and Control
2020-01-23 v3
Abstract
A game-theoretic framework for time-inconsistent stopping problems where the time-inconsistency is due to the consideration of a non-linear function of an expected reward is developed. A class of mixed strategy stopping times that allows the agents in the game to jointly choose the intensity function of a Cox process is introduced and motivated. A subgame perfect Nash equilibrium is defined. The equilibrium is characterized and other necessary and sufficient equilibrium conditions including a smooth fit result are proved. Existence and uniqueness are investigated. A mean-variance and a variance problem are studied. The state process is a general one-dimensional It\^{o} diffusion.
Keywords
Cite
@article{arxiv.1804.07018,
title = {On time-inconsistent stopping problems and mixed strategy stopping times},
author = {Sören Christensen and Kristoffer Lindensjö},
journal= {arXiv preprint arXiv:1804.07018},
year = {2020}
}