Time-consistent stopping under decreasing impatience
Time-consistent stopping under decreasing impatience
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DOI：
10.2139/ssrn.2565742
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发表时间：
2015-02
影响因子：
1.7
通讯作者：
Yu‐Jui Huang;Adrien Nguyen Huu
中科院分区：
文献类型：
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作者：
Yu‐Jui Huang;Adrien Nguyen Huu
在非指数贴现下，我们开发了一种在连续时间内停止问题的动态理论。我们的框架涵盖了减少不耐烦的折扣函数。由于固有的时间不一致，我们寻找均衡停止策略，将其表述为算子的固定点。在适当的条件下，定点迭代收敛到均衡停止策略。这种迭代方法对应于博弈论中策略推理的层次结构，并提供“特定于代理”的结果：它根据每个代理的初始行为为其分配一个特定的均衡停止策略。特别是，它在幼稚行为和复杂行为之间建立了精确的数学联系。我们的理论用实物期权模型来说明。
Under non-exponential discounting, we develop a dynamic theory for stopping problems in continuous time. Our framework covers discount functions that induce decreasing impatience. Due to the inherent time inconsistency, we look for equilibrium stopping policies, formulated as fixed points of an operator. Under appropriate conditions, fixed-point iterations converge to equilibrium stopping policies. This iterative approach corresponds to the hierarchy of strategic reasoning in game theory and provides “agent-specific” results: it assigns one specific equilibrium stopping policy to each agent according to her initial behavior. In particular, it leads to a precise mathematical connection between the naive behavior and the sophisticated one. Our theory is illustrated in a real options model.