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On time-inconsistent stopping problems and mixed strategy stopping times
Stockholm University, Faculty of Science, Department of Mathematics.
(English)Manuscript (preprint) (Other academic)
Abstract [en]

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 choose the intensity function of a Cox process is introduced. A subgame perfect Nash equilibrium is defined. The equilibrium is characterized and other results with different necessary and sufficient conditions for equilibrium are proven. This includes a smooth fit result. A mean-variance problem and a variance problem are studied as examples. The state process is a general one-dimensional Itô diffusion.

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Probability Theory and Statistics
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URN: urn:nbn:se:su:diva-164877OAI: oai:DiVA.org:su-164877DiVA, id: diva2:1280593
Available from: 2019-01-20 Created: 2019-01-20 Last updated: 2019-02-04

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arXiv:1804.07018

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Lindensjö, Kristoffer
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CiteExportLink to record
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