General stopping behaviors of naive and non-committed sophisticated agents, with application to probability distortion

We consider the problem of stopping a diffusion process with a payoff functional that renders the problem time-inconsistent. We study stopping decisions of naive agents who reoptimize continuously in time, as well as equilibrium strategies of sophisticated agents who anticipate but lack control over...

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Veröffentlicht in:	Mathematical finance 2019
Hauptverfasser:	Huang, Yu-Jui, Nguyen-Huu, Adrien, Zhou, Xun Yu
Format:	Artikel
Sprache:	eng
Schlagworte:	Economics and Finance Humanities and Social Sciences
Online-Zugang:	Volltext
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