Seminar Event Detail

Financial/Actuarial Mathematics

Date:  Monday, April 18, 2022
Location:  1360 East Hall (4:00 PM to 5:00 PM)

Title:  On Equilibrium Concepts of Time-inconsistent Stopping for One-dimensional Diffusion Processes

Abstract:   We consider three equilibrium concepts proposed in the literature for time-inconsistent stop- ping problems, including mild equilibria, weak equilibria (introduced in [4]) and strong equilibria. The discount function is assumed to be log sub- additive and the underlying process is a one-dimension diffusion. We first provide necessary and sufficient conditions for weak equilibria, and the smooth-fit condition is obtained as a by-product. Next, based on the characterization of weak equilibrium, we show that an optimal mild equilibrium is also weak. Then we provide conditions under which a weak equilibrium is strong. We further show that an optimal mild equilibrium is also strong under a certain condition. Examples are provided at last, including one that shows a weak equilibrium may not be strong, and another one shows a strong equilibrium may not be optimal mild.

This talk is based on joint work with Erhan Bayraktar and Zhou Zhou


Speaker:  Zhenhua Wang
Institution:  UM

Event Organizer:     


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