Related papers: From Time-inconsistency to Time-consistency for Op…
Recently, there has been a growing interest in developing inventory control policies which are robust to model misspecification. One approach is to posit that nature selects a worst-case distribution for any stochastic primitives from some…
Time inconsistency is prevalent in dynamic choice problems: a plan of actions to be taken in the future that is optimal for an agent today may not be optimal for the same agent in the future. If the agent is aware of this intra-personal…
In many settings, people exhibit behavior that is inconsistent across time --- we allocate a block of time to get work done and then procrastinate, or put effort into a project and then later fail to complete it. An active line of research…
Time-inconsistency is a characteristic of human behavior in which people plan for long-term benefits but take actions that differ from the plan due to conflicts with short-term benefits. Such time-inconsistent behavior is believed to be…
Time-consistency is an essential requirement in risk sensitive optimal control problems to make rational decisions. An optimization problem is time consistent if its solution policy does not depend on the time sequence of solving the…
Under non-exponential discounting, we develop a dynamic theory for stopping problems in continuous time. Our framework covers discount functions that induce decreasing impatience. Due to the inherent time inconsistency, we look for…
According to recent results, convergence in a prespecified or prescribed finite time can be achieved under extreme model uncertainty if control is applied continuously over time. This paper shows that this extreme amount of uncertainty…
Inspired by recent work of P.-L. Lions on conditional optimal control, we introduce a problem of optimal stopping under bounded rationality: the objective is the expected payoff at the time of stopping, conditioned on another event. For…
Intertemporal decision making involves choices among options whose effects occur at different moments. These choices are influenced not only by the effect of rewards value perception at different moments, but also by the time perception…
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 a central planner's decision making on behalf of a group of members with diverse discount rates. In the context of optimal stopping, we work with an aggregation preference to incorporate all discount rates via an attitude…
An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion of ambiguity attitude, via an $\alpha$-maxmin nonlinear…
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 a time-inconsistent stopping problem in which the inconsistency arises from non-constant time preference rates. We show that the smooth pasting principle, the main approach that has been used to construct explicit…
In this paper, which is a continuation of the previously published discrete time paper we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a…
We develop a theory for solving continuous time optimal stopping problems for non-linear expectations. Our motivation is to consider problems in which the stopper uses risk measures to evaluate future rewards.
Trajectory prediction is an essential step in the pipeline of an autonomous vehicle. Inaccurate or inconsistent predictions regarding the movement of agents in its surroundings lead to poorly planned maneuvers and potentially dangerous…
In this paper, we propose a new framework for solving a general dynamic optimal stopping problem without time consistency. A sophisticated solution is proposed and is well-defined for any time setting with general flows of objectives. A…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
We consider sequences-indexed by time (discrete stages)-of families of multistage stochastic optimization problems. At each time, the optimization problems in a family are parameterized by some quantities (initial states, constraint…