ORCID Profile
0000-0002-1926-4570
Current Organisation
University of Michigan
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Publisher: Wiley
Date: 03-04-2023
DOI: 10.1111/MAFI.12385
Abstract: We consider three equilibrium concepts proposed in the literature for time‐inconsistent stopping problems, including mild equilibria (introduced in Huang and Nguyen‐Huu (2018)), weak equilibria (introduced in Christensen and Lindensjö (2018)), and strong equilibria (introduced in Bayraktar et al. (2021)). The discount function is assumed to be log subadditive and the underlying process is one‐dimensional diffusion. We first provide necessary and sufficient conditions for the characterization of weak equilibria. The smooth‐fit condition is obtained as a by‐product. Next, based on the characterization of weak equilibria, we show that an optimal mild equilibrium is also weak. Then we provide conditions under which a weak equilibrium is strong. We further show that an optimal mild equilibrium is also strong under a certain condition. Finally, we provide several ex les including one showing a weak equilibrium may not be strong, and another one showing a strong equilibrium may not be optimal mild.
Publisher: Cambridge University Press (CUP)
Date: 10-07-2013
DOI: 10.1017/ASB.2013.17
Abstract: We revisit the idend payment problem in the dual model of Avanzi et al . ([2–4]). Using the fluctuation theory of spectrally positive Lévy processes, we give a short exposition in which we show the optimality of barrier strategies for all such Lévy processes. Moreover, we characterize the optimal barrier using the functional inverse of a scale function. We also consider the capital injection problem of [4] and show that its value function has a very similar form to the one in which the horizon is the time of ruin.
Publisher: Society for Industrial & Applied Mathematics (SIAM)
Date: 24-04-2023
DOI: 10.1137/22M1496955
Publisher: Elsevier BV
Date: 2014
Publisher: Society for Industrial & Applied Mathematics (SIAM)
Date: 18-11-2022
DOI: 10.1137/22M1510005
Publisher: Wiley
Date: 09-11-2021
DOI: 10.1111/MAFI.12293
No related grants have been discovered for ERHAN BAYRAKTAR.