Department seminar by Yuchong Zhang, University of TorontoExport this event to calendar

Friday, April 5, 2019 — 10:30 AM EDT

Conditional Optimal Stopping: A Time-Inconsistent Optimization


Inspired by recent work of P.-L. Lions on conditional optimal control, we introduce a problem of optimal stopping under bounded rationality: the objective is the expected payoff at the time of stopping, conditioned on another event not having happened by that time. For instance, an agent may care only about states where she is still alive at the time of stopping, or a company may condition on not being bankrupt. We make the important observation that conditional control is time-inconsistent due to the dynamic change of the conditioning probability. In this paper, we develop an equilibrium approach in the spirit of R. H. Strotz’ work for sophisticated agents in discrete time. Equilibria are found to be essentially unique in the case of a finite time horizon, whereas an infinite horizon gives rise to non-uniqueness and other interesting phenomena. We also introduce a theory which generalizes the classical Snell envelope approach to optimal stopping by introducing a pair of processes with Snell-type properties. (Joint work with Marcel Nutz).

Location 
M3 - Mathematics 3
Room: 3127
200 University Avenue West

Waterloo, ON N2L 3G1
Canada

S M T W T F S
30
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
1
2
3
  1. 2019 (45)
    1. October (2)
    2. September (1)
    3. August (1)
    4. July (2)
    5. June (2)
    6. May (7)
    7. April (7)
    8. March (6)
    9. February (4)
    10. January (13)
  2. 2018 (44)
    1. November (6)
    2. October (6)
    3. September (4)
    4. August (3)
    5. July (2)
    6. June (1)
    7. May (4)
    8. April (2)
    9. March (4)
    10. February (2)
    11. January (10)
  3. 2017 (55)
  4. 2016 (44)
  5. 2015 (38)
  6. 2014 (44)
  7. 2013 (46)
  8. 2012 (44)