55 citations · 233 across the 23 of their papers we have counts for
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3 papers · 1 filter
math.OC2017★ 29 cited
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…
q-fin.MF2017★ 1 cited
General Stopping Behaviors of Naive and Non-Committed Sophisticated Agents, with Application to Probability Distortion
Yu-Jui Huang, Adrien Nguyen-Huu, Xun Yu Zhou
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 reoptim…
math.OC2017★ 37 cited
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…