A Time-Inconsistent Dynkin Game: from Intra-personal to Inter-personal Equilibria
Yu-Jui Huang,
Zhou Zhou
Abstract:This paper studies a nonzero-sum Dynkin game in discrete time under non-exponential discounting. For both players, there are two levels of game-theoretic reasoning intertwined. First, each player looks for an intra-personal equilibrium among her current and future selves, so as to resolve time inconsistency triggered by non-exponential discounting. Next, given the other player's chosen stopping policy, each player selects a best response among her intrapersonal equilibria. A resulting inter-personal equilibriu… Show more
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