Saved in:
| Main Authors: | , |
|---|---|
| Format: | Preprint |
| Published: |
2026
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2601.23187 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866915763731824640 |
|---|---|
| author | Jin, Hanqing Yang, Yanzhao |
| author_facet | Jin, Hanqing Yang, Yanzhao |
| contents | In this paper, we propose a new framework for solving a general dynamic optimal stopping problem without time consistency. A sophisticated solution is proposed and is well-defined for any time setting with general flows of objectives. A backward iteration is proposed to find the solution. The iteration works with an additional condition, which holds in interesting cases including the time inconsistency arising from non-exponential discounting. Even if the iteration does not work, the equilibrium solution can still be studied by a forward definition. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2601_23187 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | General Optimal Stopping without Time Consistency Jin, Hanqing Yang, Yanzhao Optimization and Control 60G40, 91B06 In this paper, we propose a new framework for solving a general dynamic optimal stopping problem without time consistency. A sophisticated solution is proposed and is well-defined for any time setting with general flows of objectives. A backward iteration is proposed to find the solution. The iteration works with an additional condition, which holds in interesting cases including the time inconsistency arising from non-exponential discounting. Even if the iteration does not work, the equilibrium solution can still be studied by a forward definition. |
| title | General Optimal Stopping without Time Consistency |
| topic | Optimization and Control 60G40, 91B06 |
| url | https://arxiv.org/abs/2601.23187 |