Optimal equilibria for time‐inconsistent stopping problems in continuous time

نویسندگان
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Optimal Stopping Under Ambiguity In Continuous Time

We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward) stochastic calculus, we characterize the value function as the smallest (nonlinear) supermartingale dominating the payoff process. For Markovian models, we derive an adjusted Hamilton–Jacobi–Bellman equation involving a nonlinear drift term that stems from the agent’s ambiguity ave...

متن کامل

Optimal Stopping Problems for Time-Homogeneous Diffusions: a Review

The first part of this paper summarises the essential facts on general optimal stopping theory for time-homogeneous diffusion processes in R. The results displayed are stated in a little greater generality, but in such a way that they are neither too restrictive nor too complicated. The second part presents equations for the value function and the optimal stopping boundary as a free-boundary (S...

متن کامل

Optimal Stopping Problems

In the last lecture, we have analyzed the behavior of TD(λ) for approximating the cost­to­go function in autonomous systems. Recall that much of the analysis was based on the idea of sampling states according to their stationary distribution. This was done either explicitly, as was assumed in approximate value iteration, or implicitly through the simulation or observation of system trajectories...

متن کامل

Fuzzy stopping problems in continuous-time fuzzy stochastic systems

In a continuous-time fuzzy stochastic system, a stopping model with fuzzy stopping times is presented. The optimal fuzzy stopping times are given under an assumption of regularity for stopping rules. Also, the optimal fuzzy reward is characterized as a unique solution of an optimality equation under a differentiability condition. An example in the Markov models is discussed.

متن کامل

Continuous-time Shortest Path Problems with Stopping and Starting Costs

We describe a general solution method for the problem of finding the shortest path between two vertices of a graph in which each edge has some transit time, costs can vary with time, and stopping and parking (with corresponding costs) are allowed at the vertices.

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Mathematical Finance

سال: 2019

ISSN: 0960-1627,1467-9965

DOI: 10.1111/mafi.12229