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Time-Inconsistent Stopping in Discrete Time

Author

Listed:
  • Tomas Björk

    (Stockholm School of Economics)

  • Mariana Khapko

    (University of Toronto)

  • Agatha Murgoci

    (Ørsted)

Abstract

We now go on to study a class of time-inconsistent stopping problems in discrete time. We start by defining the concepts of Markovian stopping strategies and subgame-perfect Nash equilibrium stopping strategies. Following similar steps to those in the control case, we then proceed to derive an extension of the standard Wald–Bellman equation to a non-standard extended system that allows for the determination of the equilibrium value function and the equilibrium stopping strategy. Examples studied at the end of the chapter include a time-inconsistent version of a simple secretary problem and a procrastination problem for a time-inconsistent agent who decides when to complete a task.

Suggested Citation

Handle: RePEc:spr:sprfcp:978-3-030-81843-2_23
DOI: 10.1007/978-3-030-81843-2_23
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