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2021 | OriginalPaper | Buchkapitel

24. Time-Inconsistent Stopping in Continuous Time

verfasst von : Tomas Björk, Mariana Khapko, Agatha Murgoci

Erschienen in: Time-Inconsistent Control Theory with Finance Applications

Verlag: Springer International Publishing

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Abstract

We now turn to the case of time-inconsistent stopping problems in continuous time. We start by formulating the problem and formally defining the continuous-time equilibrium concept. In order to derive the relevant extension of variational inequalities for the time-inconsistent problem, we discretize (to some extent) the continuous-time problem, use our previously derived results in discrete time, and then take the limit. We present a sketch of a verification argument establishing the connection between the extended dynamic programming system and our continuous-time equilibrium concept. Finally, we exemplify the theory with two examples of an asset-selling problem with non-exponential discounting and the mean-variance objective.

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Literatur
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Metadaten
Titel
Time-Inconsistent Stopping in Continuous Time
verfasst von
Tomas Björk
Mariana Khapko
Agatha Murgoci
Copyright-Jahr
2021
DOI
https://doi.org/10.1007/978-3-030-81843-2_24