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arXiv · 2006.00754

Optimal Equilibria for Multi-dimensional Time-inconsistent Stopping Problems

Yu-Jui Huang·Zhenhua Wang
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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.

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BibTeXRIS

Yu-Jui Huang, Zhenhua Wang. 2020-06-01. Optimal Equilibria for Multi-dimensional Time-inconsistent Stopping Problems. https://doi.org/10.1137/20m1343774

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