Related papers: Time Consistent Stopping For The Mean-Standard Dev…
We investigate an infinite-horizon time-inconsistent mean-field game (MFG) in a discrete time setting. We first present a classic equilibrium for the MFG and its associated existence result. This classic equilibrium aligns with the…
In this paper, we consider the optimal portfolio liquidation problem under the dynamic mean-variance criterion and derive time-consistent solutions in three important models. We give adapted optimal strategies under a reconsidered…
We consider the problem of stopping a diffusion process with a payoff functional that renders the problem time-inconsistent. We study stopping decisions of naive agents who reoptimize continuously in time, as well as equilibrium strategies…
This paper considers time-inconsistent problems when control and stopping strategies are required to be made simultaneously (called stopping control problems by us). We first formulate the timeinconsistent stopping control problems under…
We study the existence of mixed-strategy equilibria in concurrent games played on graphs. While existence is guaranteed with safety objectives for each player, Nash equilibria need not exist when players are given arbitrary terminal-reward…
The paper [12] examines a concept of equilibrium policies instead of optimal controls in stochastic optimization to analyze a mean-variance portfolio selection problem. We follow the same approach in order to investigate the Merton…
We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…
We study the stability of receding horizon control for continuous-time non-linear stochastic differential equations. We illustrate the results with a simulation example in which we employ receding horizon control to design an investment…
We provide sufficient conditions for the continuity of the free-boundary in a general class of finite-horizon optimal stopping problems arising for instance in finance and economics. The underlying process is a strong solution of one…
In this paper we consider stopping problems with partial observation under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. Our aim is to maximize the certainty equivalent of the stopping…
In this paper we study a discrete-time semidiscretization and a fully discretization (discrete-time, discrete-state) of an infinite time horizon noncooperative $N$-player differential game. We prove that as either the discretization time…
We study a problem of finding an optimal stopping strategy to liquidate an asset with unknown drift. Taking a Bayesian approach, we model the initial beliefs of an individual about the drift parameter by allowing an arbitrary probability…
We obtain the first probabilistic proof of continuous differentiability of time-dependent optimal boundaries in optimal stopping problems. The underlying stochastic dynamics is a one-dimensional, time-inhomogeneous diffusion. The gain…
This paper considers an infinite-horizon Markov decision process (MDP) that allows for general non-exponential discount functions, in both discrete and continuous time. Due to the inherent time inconsistency, we look for a randomized…
We consider a general time-inconsistent stochastic linear-quadratic differential game. The time-inconsistency arises from the presence of quadratic terms of the expected state as well as state-dependent term in the objective functionals. We…
Bellman formulated a vague principle for optimization over time, which characterizes optimal policies by stating that a decision maker should not regret previous decisions retrospectively. This paper addresses time consistency in stochastic…
This paper studies the time-inconsistent MV optimal stopping problem via a game-theoretic approach to find equilibrium strategies. To overcome the mathematical intractability of direct equilibrium analysis, we propose a vanishing…
In this paper we propose the notion of dynamic deviation measure, as a dynamic time-consistent extension of the (static) notion of deviation measure. To achieve time-consistency we require that a dynamic deviation measures satisfies a…
In optimal stopping problems, a Markov structure guarantees Markovian optimal stopping times (first exit times). Surprisingly, there is no analogous result for Markovian stopping games once randomization is required. This paper addresses…
The classical mean-variance portfolio selection problem induces time-inconsistent (precommited) strategies (see Zhou and Li (2000)). To overcome this time-inconsistency, Basak and Chabakauri (2010) introduce the game theoretical approach…