论文标题
当地时间推动混合停止和平滑适合度，以解决时间不一致的停止问题
Local time pushed mixed stopping and smooth fit for time-inconsistent stopping problems
论文作者
论文摘要
我们认为游戏理论方法是在一维扩散的时间内停止的，这是由于存在非指数（加权）折扣功能所致。特别是，我们研究了基于停止强度的当地时间构建的新型混合（即随机）停止时间的新型混合（即随机）停止时间的（弱）平衡。对于问题的一般表述，我们提供了一个验证定理，以一组变异不等式（包括平稳的拟合条件）为混合（和纯）平衡提供足够的条件。我们将理论应用于在不存在纯平的实际选择问题中证明（混合）平衡的存在。
We consider the game-theoretic approach to time-inconsistent stopping of a one-dimensional diffusion where the time-inconsistency is due to the presence of a non-exponential (weighted) discount function. In particular, we study (weak) equilibria for this problem in a novel class of mixed (i.e., randomized) stopping times based on a local time construction of the stopping intensity. For a general formulation of the problem we provide a verification theorem giving sufficient conditions for mixed (and pure) equilibria in terms of a set of variational inequalities, including a smooth fit condition. We apply the theory to prove the existence of (mixed) equilibria in a recently studied real options problem in which no pure equilibria exist.
