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|a Time-Consistent Stopping Under Decreasing Impatience
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|a The paper presents a dynamic theory for time-inconsistent problems of optimal stopping. The theory is developed under the paradigm of expected discounted payoff, where the process to stop is continuous and Markovian. We introduce equilibrium stopping policies, which are implementable stopping rules that take into account the change of preferences over time. When the discount function induces decreasing impatience, we establish a constructive method to find equilibrium policies. A new class of stopping problems, involving equilibrium policies, is introduced, as opposed to classical optimal stopping. By studying the stopping of a BES(1) process under hyperbolic discounting, we illustrate our theory in an explicit manner
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Huang, Yu-Jui |
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Nguyen Huu, Adrien |
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Huang, Yu-Jui, Nguyen Huu, Adrien |
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The paper presents a dynamic theory for time-inconsistent problems of optimal stopping. The theory is developed under the paradigm of expected discounted payoff, where the process to stop is continuous and Markovian. We introduce equilibrium stopping policies, which are implementable stopping rules that take into account the change of preferences over time. When the discount function induces decreasing impatience, we establish a constructive method to find equilibrium policies. A new class of stopping problems, involving equilibrium policies, is introduced, as opposed to classical optimal stopping. By studying the stopping of a BES(1) process under hyperbolic discounting, we illustrate our theory in an explicit manner |
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Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 13, 2015 erstellt |
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[S.l.], SSRN, [2015] |
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[S.l.]: SSRN, [2015] |
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Huang, Yu-Jui aut, Time-Consistent Stopping Under Decreasing Impatience, [S.l.] SSRN [2015], 1 Online-Ressource (29 p), Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 13, 2015 erstellt, Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 unrestricted online access, The paper presents a dynamic theory for time-inconsistent problems of optimal stopping. The theory is developed under the paradigm of expected discounted payoff, where the process to stop is continuous and Markovian. We introduce equilibrium stopping policies, which are implementable stopping rules that take into account the change of preferences over time. When the discount function induces decreasing impatience, we establish a constructive method to find equilibrium policies. A new class of stopping problems, involving equilibrium policies, is introduced, as opposed to classical optimal stopping. By studying the stopping of a BES(1) process under hyperbolic discounting, we illustrate our theory in an explicit manner, Nguyen Huu, Adrien oth, https://ssrn.com/abstract=2565742 X:ELVSSRN Verlag kostenfrei, https://doi.org/10.2139/ssrn.2565742 X:ELVSSRN Resolving-System kostenfrei, https://doi.org/10.2139/ssrn.2565742 LFER, https://ssrn.com/abstract=2565742 LFER, LFER epn:4198903999 2022-10-18T16:55:41Z |
| spellingShingle |
Huang, Yu-Jui, Time-Consistent Stopping Under Decreasing Impatience, The paper presents a dynamic theory for time-inconsistent problems of optimal stopping. The theory is developed under the paradigm of expected discounted payoff, where the process to stop is continuous and Markovian. We introduce equilibrium stopping policies, which are implementable stopping rules that take into account the change of preferences over time. When the discount function induces decreasing impatience, we establish a constructive method to find equilibrium policies. A new class of stopping problems, involving equilibrium policies, is introduced, as opposed to classical optimal stopping. By studying the stopping of a BES(1) process under hyperbolic discounting, we illustrate our theory in an explicit manner |
| title |
Time-Consistent Stopping Under Decreasing Impatience |
| title_auth |
Time-Consistent Stopping Under Decreasing Impatience |
| title_full |
Time-Consistent Stopping Under Decreasing Impatience |
| title_fullStr |
Time-Consistent Stopping Under Decreasing Impatience |
| title_full_unstemmed |
Time-Consistent Stopping Under Decreasing Impatience |
| title_short |
Time-Consistent Stopping Under Decreasing Impatience |
| title_sort |
time-consistent stopping under decreasing impatience |
| title_unstemmed |
Time-Consistent Stopping Under Decreasing Impatience |
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https://ssrn.com/abstract=2565742, https://doi.org/10.2139/ssrn.2565742 |
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AT huangyujui timeconsistentstoppingunderdecreasingimpatience, AT nguyenhuuadrien timeconsistentstoppingunderdecreasingimpatience |
