Endre søk
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
On time-inconsistent stopping problems and mixed strategy stopping times
Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen.
Rekke forfattare: 22020 (engelsk)Inngår i: Stochastic Processes and their Applications, ISSN 0304-4149, E-ISSN 1879-209X, Vol. 130, nr 5, s. 2886-2917Artikkel i tidsskrift (Fagfellevurdert) 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.

sted, utgiver, år, opplag, sider
2020. Vol. 130, nr 5, s. 2886-2917
Emneord [en]
Cox process, Mean-variance criterion, Mixed strategies, Optimal stopping, Subgame perfect nash equilibrium, Time-inconsistency
HSV kategori
Identifikatorer
URN: urn:nbn:se:su:diva-181961DOI: 10.1016/j.spa.2019.08.010ISI: 000528486200012OAI: oai:DiVA.org:su-181961DiVA, id: diva2:1438409
Tilgjengelig fra: 2020-06-10 Laget: 2020-06-10 Sist oppdatert: 2022-02-26bibliografisk kontrollert

Open Access i DiVA

Fulltekst mangler i DiVA

Andre lenker

Forlagets fulltekst

Person

Lindensjö, Kristoffer

Søk i DiVA

Av forfatter/redaktør
Lindensjö, Kristoffer
Av organisasjonen
I samme tidsskrift
Stochastic Processes and their Applications

Søk utenfor DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric

doi
urn-nbn
Totalt: 84 treff
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf