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Student Math Finance Seminar

Equilibrium concepts for time-inconsistent stopping problems in continuous time
Monday, October 19, 2020
7:00-8:00 PM
https://umich.zoom.us/j/99487325343 Off Campus Location
A new notion of equilibrium, which we call strong equilibrium, is introduced for time-inconsistent stopping problems in continuous time. Compared to the existing notions introduced in Time-Consistent Stopping Under Decreasing Impatience and On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems, which in this paper are called mild equilibrium and weak equilibrium respectively, a strong equilibrium captures the idea of subgame perfect Nash equilibrium more accurately. When the state process is a continuous-time Markov chain and the discount function is log sub-additive, we show that an optimal mild equilibrium is always a strong equilibrium. Moreover, we provide a new iteration method that can directly construct an optimal mild equilibrium and thus also prove its existence. Speaker(s): Jingjie Zhang (University of Michigan)
Building: Off Campus Location
Location: Virtual
Event Type: Workshop / Seminar
Tags: Mathematics
Source: Happening @ Michigan from Department of Mathematics