
arXiv: 1804.07018
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 Itô diffusion.
Dynamic games, Stopping times; optimal stopping problems; gambling theory, Dynamic stochastic general equilibrium theory, mean-variance criterion, time-inconsistency, Noncooperative games, optimal stopping, Optimization and Control (math.OC), subgame perfect Nash equilibrium, FOS: Mathematics, mixed strategies, 60G40, 60J70, 91A10, 91A25, 91G80, 91B02, 91B51, Fundamental topics (basic mathematics, methodology; applicable to economics in general), Cox process, Mathematics - Optimization and Control, Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.), Financial applications of other theories
Dynamic games, Stopping times; optimal stopping problems; gambling theory, Dynamic stochastic general equilibrium theory, mean-variance criterion, time-inconsistency, Noncooperative games, optimal stopping, Optimization and Control (math.OC), subgame perfect Nash equilibrium, FOS: Mathematics, mixed strategies, 60G40, 60J70, 91A10, 91A25, 91G80, 91B02, 91B51, Fundamental topics (basic mathematics, methodology; applicable to economics in general), Cox process, Mathematics - Optimization and Control, Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.), Financial applications of other theories
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