On time-inconsistent stopping problems and mixed strategy stopping times
arXiv:1804.07018 · doi:10.1016/j.spa.2019.08.010
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.
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- A Time-Inconsistent Dynkin Game: from Intra-personal to Inter-personal Equilibria
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- On first exit times and their means for Brownian bridges
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