Time-consistent optimal stopping

Constructing Time-Homogeneous Generalised Diffusions Consistent with Optimal Stopping Values

Consider a set of discounted optimal stopping problems for a one-parameter family of objective functions and a fixed diffusion process, started at a fixed point. A standard problem in stochastic control/optimal stopping is to solve for the problem value in this setting. In this article we consider an inverse problem; given the set of problem values for a family of objective functions, we aim to...

Time-consistent stopping under decreasing impatience

Optimal Stopping Under Ambiguity In Continuous Time

We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward) stochastic calculus, we characterize the value function as the smallest (nonlinear) supermartingale dominating the payoff process. For Markovian models, we derive an adjusted Hamilton–Jacobi–Bellman equation involving a nonlinear drift term that stems from the agent’s ambiguity ave...

Optimal Time-Consistent Taxation with Overlapping Generations

The paper analyzes optimal time-consistent taxation in an overlapping generations model with two-period lived households. The government chooses tax rates and borrowing to finance an exogenous stream of expenditures. It cannot commit to future policies, so announced policies that are not time consistent are not credible. Dynamic programming is used to derive Markov-perfect equilibria. In contra...

Optimal Consistent Network Updates in Polynomial Time

Software-defined networking (SDN) enables controlling the behavior of a network in software, by managing the the forwarding rules installed on switches. However, it can be difficult to ensure that certain properties are preserved during periods of reconfiguration. The widelyaccepted notion of per-packet consistency requires every packet to be forwarded using the new configuration or the old con...