英文标题：
《Optimal Equilibria for Time-Inconsistent Stopping Problems in Continuous
Time》
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作者：
Yu-Jui Huang, Zhou Zhou
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最新提交年份：
2018
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英文摘要：
For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the discount function is log sub-additive and the state process is one-dimensional, an optimal equilibrium is constructed in a specific form, under appropriate regularity and integrability conditions. While there may exist other optimal equilibria, we show that they can differ from the constructed one in very limited ways. This leads to a sufficient condition for the uniqueness of optimal equilibria, up to some closedness condition. To illustrate our theoretic results, comprehensive analysis is carried out for three specific stopping problems, concerning asset liquidation and real options valuation. For each one of them, an optimal equilibrium is characterized through an explicit formula.
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中文摘要：
对于非指数折扣下的无限期连续时间最优停止问题，我们寻找一个最优均衡，它在整个状态空间上产生的值比任何其他均衡都大。当贴现函数为对数次可加且状态过程为一维时，在适当的正则性和可积性条件下，以特定形式构造最优均衡。虽然可能存在其他最优平衡，但我们表明，它们可以在非常有限的方式上与构建的平衡不同。这就得到了最优平衡点唯一性的一个充分条件，直到某个封闭条件。为了说明我们的理论结果，本文对资产清算和实物期权估价这三个具体的停止问题进行了综合分析。对于其中的每一个，通过一个显式公式来描述最优平衡。
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分类信息：

一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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