kth.sePublications KTH
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Time-inconsistent mean-field optimal stopping: A limit approach
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.ORCID iD: 0000-0002-6608-0715
Dipartimento di Matematica “Federigo Enriques”, Università degli Studi di Milano, Via Saldini 50, 20133 Milano, Italy.
2023 (English)In: Journal of Mathematical Analysis and Applications, ISSN 0022-247X, E-ISSN 1096-0813, Vol. 528, no 1, article id 127582Article in journal (Refereed) Published
Abstract [en]

We provide a characterization of an optimal stopping time for a class of finite horizon time-inconsistent optimal stopping problems (OSPs) of mean-field type, adapted to the Brownian filtration, including those related to mean-field diffusion processes and recursive utility functions. Despite the time-inconsistency of the OSP, we show that it is optimal to stop when the value-process hits the reward process for the first time, as is the case for the standard time-consistent OSP. We solve the problem by approximating the corresponding value-process with a sequence of Snell envelopes of processes, for which a sequence of optimal stopping times is constituted of the hitting times of each of the reward processes by the associated value-process. Then, under mild assumptions, we show that this sequence of hitting times converges in probability to the hitting time for the mean-field OSP and that the limit is optimal.

Place, publisher, year, edition, pages
Academic Press Inc. , 2023. Vol. 528, no 1, article id 127582
Keywords [en]
Mean-field, Optimal stopping, Snell envelope, Variance
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-334345DOI: 10.1016/j.jmaa.2023.127582ISI: 001045136900001Scopus ID: 2-s2.0-85165193798OAI: oai:DiVA.org:kth-334345DiVA, id: diva2:1789813
Note

QC 20230821

Available from: 2023-08-21 Created: 2023-08-21 Last updated: 2023-09-06Bibliographically approved

Open Access in DiVA

No full text in DiVA

Other links

Publisher's full textScopus

Authority records

Djehiche, Boualem

Search in DiVA

By author/editor
Djehiche, Boualem
By organisation
Mathematical Statistics
In the same journal
Journal of Mathematical Analysis and Applications
Probability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 121 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf