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Stochastic Processes and their Applications
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https://dx.doi.org/10.48550/ar...
Article . 2018
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On time-inconsistent stopping problems and mixed strategy stopping times

Authors: Christensen, Sören; Lindensjö, Kristoffer;

On time-inconsistent stopping problems and mixed strategy stopping times

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 Itô diffusion.

Keywords

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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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
37
Top 10%
Top 10%
Top 10%
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