55 citations · 233 across the 23 of their papers we have counts for
9 papers · 1 filter
Optimal Investment with Switching Preferences
Yu-Jui Huang, Liviu Ignat, Traian A. Pirvu +1
Major life events can significantly increase individuals' risk aversion over a sustained period of time, as empirical studies reveal. How such an event-triggered shift of risk pref…
Relaxed Equilibria for Time-Inconsistent Markov Decision Processes
Erhan Bayraktar, Yu-Jui Huang, Zhenhua Wang +1
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…
A Time-Inconsistent Dynkin Game: from Intra-personal to Inter-personal Equilibria
Yu-Jui Huang, Zhou Zhou
This paper studies a nonzero-sum Dynkin game in discrete time under non-exponential discounting. For both players, there are two levels of game-theoretic reasoning intertwined. Fir…
Strong and Weak Equilibria for Time-Inconsistent Stochastic Control in Continuous Time
Yu-Jui Huang, Zhou Zhou
A new definition of continuous-time equilibrium controls is introduced. As opposed to the standard definition, which involves a derivative-type operation, the new definition parall…
Optimal Consumption in the Stochastic Ramsey Problem without Boundedness Constraints
Yu-Jui Huang, Saeed Khalili
This paper investigates optimal consumption in the stochastic Ramsey problem with the Cobb-Douglas production function. Contrary to prior studies, we allow for general consumption…
Optimal Equilibria for Time-Inconsistent Stopping Problems in Continuous Time
Yu-Jui Huang, Zhou Zhou
For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other…
The Optimal Equilibrium for Time-Inconsistent Stopping Problems -- the Discrete-Time Case
Yu-Jui Huang, Zhou Zhou
We study an infinite-horizon discrete-time optimal stopping problem under non-exponential discounting. A new method, which we call the iterative approach, is developed to find subg…
Time-consistent stopping under decreasing impatience
Yu-Jui Huang, Adrien Nguyen-Huu
Under non-exponential discounting, we develop a dynamic theory for stopping problems in continuous time. Our framework covers discount functions that induce decreasing impatience.…
On the Multi-Dimensional Controller and Stopper Games
Erhan Bayraktar, Yu-Jui Huang
We consider a zero-sum stochastic differential controller-and-stopper game in which the state process is a controlled diffusion evolving in a multi-dimensional Euclidean space. In…