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On time-inconsistent stopping problems and mixed strategy stopping times
Stockholm University, Faculty of Science, Department of Mathematics.
Number of Authors: 22020 (English)In: Stochastic Processes and their Applications, ISSN 0304-4149, E-ISSN 1879-209X, Vol. 130, no 5, p. 2886-2917Article in journal (Refereed) Published
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 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 Ito diffusion.

Place, publisher, year, edition, pages
2020. Vol. 130, no 5, p. 2886-2917
Keywords [en]
Cox process, Mean-variance criterion, Mixed strategies, Optimal stopping, Subgame perfect nash equilibrium, Time-inconsistency
National Category
Mathematics
Identifiers
URN: urn:nbn:se:su:diva-181961DOI: 10.1016/j.spa.2019.08.010ISI: 000528486200012OAI: oai:DiVA.org:su-181961DiVA, id: diva2:1438409
Available from: 2020-06-10 Created: 2020-06-10 Last updated: 2022-02-26Bibliographically approved

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Lindensjö, Kristoffer

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