On time-inconsistent stopping problems and mixed strategy stopping times
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DOI: 10.1016/j.spa.2019.08.010
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Cited by:
- Erhan Bayraktar & Zhenhua Wang & Zhou Zhou, 2023.
"Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes,"
Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 797-841, July.
- Erhan Bayraktar & Zhenhua Wang & Zhou Zhou, 2022. "Equilibria of Time-inconsistent Stopping for One-dimensional Diffusion Processes," Papers 2201.07659, arXiv.org, revised Nov 2022.
- Fang Chen & Xianping Guo & Zhong-Wei Liao, 2022. "Optimal Stopping Time on Semi-Markov Processes with Finite Horizon," Journal of Optimization Theory and Applications, Springer, vol. 194(2), pages 408-439, August.
- Yu-Jui Huang & Zhou Zhou, 2022. "A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria," Finance and Stochastics, Springer, vol. 26(2), pages 301-334, April.
- Kristoffer Lindensjö & Filip Lindskog, 2020. "Optimal dividends and capital injection under dividend restrictions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 92(3), pages 461-487, December.
- Yu‐Jui Huang & Xiang Yu, 2021. "Optimal stopping under model ambiguity: A time‐consistent equilibrium approach," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 979-1012, July.
- Zongxia Liang & Fengyi Yuan, 2021. "Weak equilibria for time-inconsistent control: with applications to investment-withdrawal decisions," Papers 2105.06607, arXiv.org, revised Jun 2023.
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Keywords
Cox process; Mean–variance criterion; Mixed strategies; Optimal stopping; Subgame perfect nash equilibrium; Time-inconsistency;All these keywords.
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