Local Time Pushed Mixed Equilibrium Strategies for Time-Inconsistent Stopping Problems

Bodnariu, Andi; Christensen, Sören; Lindensjö, Kristoffer

doi:10.1137/22m1506651

SIAM J. Control Optim.

2024

DOI: 10.1137/22m1506651

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Local Time Pushed Mixed Equilibrium Strategies for Time-Inconsistent Stopping Problems

Andi Bodnariu,

Sören Christensen,

Kristoffer Lindensjö

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2024

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Cited by 2 publications

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On the Time Consistent Solution to Optimal Stopping Problems with Expectation Constraint

Christensen,

Klein,

Schultz

2024

Appl Math Optim

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We study the (weak) equilibrium problem arising from the problem of optimally stopping a one-dimensional diffusion subject to an expectation constraint on the time until stopping. The weak equilibrium problem is realized with a set of randomized but purely state dependent stopping times as admissible strategies. We derive a verification theorem and necessary conditions for equilibria, which together basically characterize all equilibria. Furthermore, additional structural properties of equilibria are obtained to feed a possible guess-and-verify approach, which is then illustrated by an example.

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On the Time Consistent Solution to Optimal Stopping Problems with Expectation Constraint

Christensen,

Klein,

Schultz

2024

Appl Math Optim

View full text Add to dashboard Cite

show abstract

Sharp Equilibria for Time-Inconsistent Mean-Field Stopping Games

Wang,

Zhou

2024

SIAM J. Control Optim.

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Local Time Pushed Mixed Equilibrium Strategies for Time-Inconsistent Stopping Problems

Cited by 2 publications

References 25 publications

On the Time Consistent Solution to Optimal Stopping Problems with Expectation Constraint

On the Time Consistent Solution to Optimal Stopping Problems with Expectation Constraint

Sharp Equilibria for Time-Inconsistent Mean-Field Stopping Games

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