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DTSTART:20070311T020000
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DTSTAMP:20220418T181517
DTSTART;TZID=America/Detroit:20220418T160000
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SUMMARY:Workshop / Seminar:Financial/Actuarial Mathematics Seminar
DESCRIPTION: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. \n\nThis talk is based on joint work with Erhan Bayraktar and Zhou Zhou\n\n Speaker(s): Zhenhua Wang (UM)
UID:91005-21675333@events.umich.edu
URL:https://events.umich.edu/event/91005
CLASS:PUBLIC
STATUS:CONFIRMED
CATEGORIES:Mathematics
LOCATION:East Hall - 1360
CONTACT:
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