adv

Conditional Optimal Stopping: A Time-Inconsistent Optimization. (arXiv:1901.05802v1 [math.OC])

Inspired by recent work of P.-L. Lions on conditional optimal control, we introduce a problem of optimal stopping under bounded rationality: the objective is the expected payoff at the time of stopping, conditioned on another event. For instance, an agent may care only about states where she is still alive at the time of stopping, or a company may condition on not being bankrupt. We observe that conditional optimization is time-inconsistent due to the dynamic change of the conditioning probability and develop an equilibrium approach in the spirit of R. H. Strotz' work for sophisticated agents in discrete time. Equilibria are found to be essentially unique in the case of a finite time horizon whereas an infinite horizon gives rise to non-uniqueness and other interesting phenomena. We also introduce a theory which generalizes the classical Snell envelope approach for optimal stopping by considering a pair of processes with Snell-type properties.查看全文

Solidot 文章翻译

你的名字

留空匿名提交
你的Email或网站

用户可以联系你
标题

简单描述
内容