Campuses:

probability distortion

Wednesday, June 13, 2018 - 9:00am - 9:50am
Xunyu Zhou (Columbia University)
We consider the problem of stopping a diffusion process with a payoff functional that renders the problem time inconsistent. We study stopping decisions of naive agents who reoptimize continuously in time, as well as equilibrium strategies of sophisticated agents who anticipate but lack control over their future selves' behaviors. When the state process is one dimensional and the payoff functional satisfies some regularity conditions, we prove that any equilibrium can be obtained as a fixed point of an operator.
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