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Optimal Equilibria for Multi-dimensional Time-inconsistent Stopping Problems

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 نشر من قبل Yu-Jui Huang
 تاريخ النشر 2020
  مجال البحث مالية
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We study an optimal stopping problem under non-exponential discounting, where the state process is a multi-dimensional continuous strong Markov process. The discount function is taken to be log sub-additive, capturing decreasing impatience in behavioral economics. On strength of probabilistic potential theory, we establish the existence of an optimal equilibrium among a sufficiently large collection of equilibria, consisting of finely closed equilibria satisfying a boundary condition. This generalizes the existence of optimal equilibria for one-dimensional stopping problems in prior literature.



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