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Stability of Time-inconsistent Stopping for One-dimensional Diffusion -- A Longer Version

Authors :
Bayraktar, Erhan
Wang, Zhenhua
Zhou, Zhou
Publication Year :
2022

Abstract

We investigate the stability of the equilibrium-induced optimal value in one-dimensional diffusion setting for a time-inconsistent stopping problem under non-exponential discounting. We show that the optimal value is semi-continuous with respect to the drift, volatility, and reward function. An example is provided showing that the exact continuity may fail. With equilibria extended to $\varepsilon$-equilibria, we establish the relaxed continuity of the optimal value.

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.2207.08158
Document Type :
Working Paper