英文标题：
《Conditional Optimal Stopping: A Time-Inconsistent Optimization》
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作者：
Marcel Nutz, Yuchong Zhang
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最新提交年份：
2019
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英文摘要：
  Inspired by recent work of P.-L. Lions on conditional optimal control, we introduce a problem of optimal stopping under bounded rationality: the objective is the expected payoff at the time of stopping, conditioned on another event. For instance, an agent may care only about states where she is still alive at the time of stopping, or a company may condition on not being bankrupt. We observe that conditional optimization is time-inconsistent due to the dynamic change of the conditioning probability and develop an equilibrium approach in the spirit of R. H. Strotz\' work for sophisticated agents in discrete time. Equilibria are found to be essentially unique in the case of a finite time horizon whereas an infinite horizon gives rise to non-uniqueness and other interesting phenomena. We also introduce a theory which generalizes the classical Snell envelope approach for optimal stopping by considering a pair of processes with Snell-type properties.
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中文摘要：
受P.-L.Lions最近关于条件最优控制工作的启发，我们引入了一个有限理性下的最优停止问题：目标是在停止时的预期收益，条件是另一个事件。例如，代理人可能只关心其停职时还活着的州，或者公司可能以不破产为条件。我们观察到，由于条件概率的动态变化，条件优化是时间不一致的，并本着R.H.Strotz在离散时间内对复杂代理所做工作的精神，开发了一种均衡方法。在有限时间范围内，平衡点本质上是唯一的，而无限时间范围会导致非唯一性和其他有趣的现象。我们还引入了一个理论，该理论通过考虑一对具有Snell型性质的过程，推广了经典的Snell包络最优停止方法。
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分类信息：

一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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