Dept Banner
Dept Banner

There are no seminars this week.

Seminars & Colloquia Calendar

Download as iCal file

Special Seminar

Time-Consistent Stopping

Location:  Hill 705
Date & time: Tuesday, 26 January 2016 at 12:00PM - 12:11PM

Yu-Jui Huang, Dublin City University: We study stopping problems for diffusion processes, under non-exponential discounting. Our framework particularly captures decreasing impatience, a phenomenon well-documented in Behavioral Finance. Since non-exponential discounting induces time inconsistency, one should not naively employ optimal stopping times from classical theory, but rather look for equilibrium stopping policies under a game-theoretic setting. We provide a precise definition of subgame perfect Nash equilibriums in an intertemporal game among current and future selves. For time-inconsistent stopping problems, this is the first time a formulation of equilibrium is established in continuous time. Fixed-point iterations are carried out to search for equilibriums. Under appropriate conditions, the iteration is decreasing and indeed converges to an equilibrium. More importantly, the fixed-point iteration reveals a clear connection between a naive agent (who applies optimal stopping times) and a sophisticated one (who employs equilibrium policies). This connection is new in the literature of time-inconsistent problems.

Special Note to All Travelers

Directions: map and driving directions. If you need information on public transportation, you may want to check the New Jersey Transit page.

Unfortunately, cancellations do occur from time to time. Feel free to call our department: 848-445-6969 before embarking on your journey. Thank you.

Contact Us

HillCenter small

Department of Mathematics

Department of Mathematics
Rutgers University
Hill Center - Busch Campus
110 Frelinghuysen Road
Piscataway, NJ 08854-8019, USA

Phone: +1.848.445.2390
Fax: +1.732.445.5530