Equilibrium concepts for time-inconsistent stopping problems in continuous time

Erhan Bayraktar, Jingjie Zhang and Zhou Zhou

Papers from arXiv.org

Abstract: A \emph{new} notion of equilibrium, which we call \emph{strong equilibrium}, is introduced for time-inconsistent stopping problems in continuous time. Compared to the existing notions introduced in ArXiv: 1502.03998 and ArXiv: 1709.05181, which in this paper are called \emph{mild equilibrium} and \emph{weak equilibrium} respectively, a strong equilibrium captures the idea of subgame perfect Nash equilibrium more accurately. When the state process is a continuous-time Markov chain and the discount function is log sub-additive, we show that an optimal mild equilibrium is always a strong equilibrium. Moreover, we provide a new iteration method that can directly construct an optimal mild equilibrium and thus also prove its existence.

Date: 2019-09, Revised 2020-10
New Economics Papers: this item is included in nep-gth
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Citations: View citations in EconPapers (2)

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Journal Article: Equilibrium concepts for time‐inconsistent stopping problems in continuous time (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1909.01112

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