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Financial/Actuarial Mathematics Seminar

Stability of Equilibria in Time-inconsistent Stopping Problems
Wednesday, November 2, 2022
4:00-5:00 PM
1360 East Hall Map
We investigate the stability of equilibrium-induced optimal values with respect to reward functions (which is denoted by f) and transition kernels (which is denoted by Q) for time-inconsistent stopping problems under non-exponential discounting in discrete time. First, with locally uniform convergence of f and Q equipped with total variation distance, we show that the optimal value is semi-continuous w.r.t. (f,Q). We provide examples showing that exact continuity may fail. Next we show that, with the uniform convergence of f and Q, the optimal value is continuous w.r.t. (f, Q) under a relaxed limit over epsilon-equilibria. This is a joint work with Erhan Bayraktar and Zhou Zhou. Speaker(s): Zhenhua Wang (UM)
Building: East Hall
Event Type: Workshop / Seminar
Tags: Mathematics
Source: Happening @ Michigan from Department of Mathematics