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Optimal Equilibria for Time-Inconsistent Stopping Problems in Continuous Time Público Deposited

https://scholar.colorado.edu/concern/articles/qr46r203h
Abstract
  • For an infinite‐horizon continuous‐time optimal stopping problem under nonexponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the discount function is log subadditive and the state process is one‐dimensional, an optimal equilibrium is constructed in a specific form, under appropriate regularity and integrability conditions. Although there may exist other optimal equilibria, we show that they can differ from the constructed one in very limited ways. This leads to a sufficient condition for the uniqueness of optimal equilibria, up to some closedness condition. To illustrate our theoretic results, a comprehensive analysis is carried out for three specific stopping problems, concerning asset liquidation and real options valuation. For each one of them, an optimal equilibrium is characterized through an explicit formula.

Creator
Academic Affiliation
Journal Title
Journal Issue/Number
  • 3
Journal Volume
  • 30
Última modificação
  • 2021-07-17
Resource Type
Declaração de direitos
DOI
ISSN
  • 1467-9965
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