Optimal equilibria for time‐inconsistent stopping problems in continuous time
研究了非指数贴现下无限时域连续时间最优停止问题，构造了在全局状态空间上优于其他均衡的最优均衡，并给出了唯一性条件，通过资产清算和实物期权估值实例展示了显式公式。
For an infinite-horizon continuous-time optimal stopping problem under nonexponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the discount function is log subadditive and the state process is one-dimensional, an optimal equilibrium is constructed in a specific form, under appropriate regularity and integrability conditions. Although there may exist other optimal equilibria, we show that they can differ from the constructed one in very limited ways. This leads to a sufficient condition for the uniqueness of optimal equilibria, up to some closedness condition. To illustrate our theoretic results, a comprehensive analysis is carried out for three specific stopping problems, concerning asset liquidation and real options valuation. For each one of them, an optimal equilibrium is characterized through an explicit formula.