Equilibria of Time-inconsistent Stopping for One-dimensional Diffusion Processes

Erhan Bayraktar, Zhenhua Wang and Zhou Zhou

Papers from arXiv.org

Abstract: We consider three equilibrium concepts proposed in the literature for time-inconsistent stopping problems, including mild equilibria, weak equilibria and strong equilibria. The discount function is assumed to be log sub-additive and the underlying process is one-dimensional diffusion. We first provide necessary and sufficient conditions for the characterization of weak equilibria. The smooth-fit condition is obtained as a by-product. Next, based on the characterization of weak equilibria, we show that an optimal mild equilibrium is also weak. Then we provide conditions under which a weak equilibrium is strong. We further show that an optimal mild equilibrium is also strong under a certain condition. Finally, we provide several examples including one shows a weak equilibrium may not be strong, and another one shows a strong equilibrium may not be optimal mild.

Date: 2022-01, Revised 2022-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://arxiv.org/pdf/2201.07659 Latest version (application/pdf)

Related works:
Journal Article: Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes (2023)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2201.07659

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().