Optimal Equilibria for Multi-dimensional Time-inconsistent Stopping Problems

Yu-Jui Huang and Zhenhua Wang

Papers from arXiv.org

Abstract: We study an optimal stopping problem under non-exponential discounting, where the state process is a multi-dimensional continuous strong Markov process. The discount function is taken to be log sub-additive, capturing decreasing impatience in behavioral economics. On strength of probabilistic potential theory, we establish the existence of an optimal equilibrium among a sufficiently large collection of equilibria, consisting of finely closed equilibria satisfying a boundary condition. This generalizes the existence of optimal equilibria for one-dimensional stopping problems in prior literature.

Date: 2020-06, Revised 2021-01
New Economics Papers: this item is included in nep-mic
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Citations: View citations in EconPapers (8)

Published in SIAM Journal on Control and Optimization, Vol. 59 (2021), No. 2, pp 1705-1729

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2006.00754

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