General Optimal Stopping without Time Consistency

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Authors: Hanqing Jin, Yanzhao Yang
Cited by: 0

Abstract

In this paper, we propose a new framework for solving a general dynamic optimal stopping problem without time consistency. A sophisticated solution is proposed and is well-defined for any time setting with general flows of objectives. A backward iteration is proposed to find the solution. The iteration works with an additional condition, which holds in interesting cases including the time inconsistency arising from non-exponential discounting. Even if the iteration does not work, the equilibrium solution can still be studied by a forward definition.

Fields of Study & Subjects

Stochastic processes and financial applications Game Theory and Applications Optimization and Search Problems

Publication details

Journal / source
arXiv (Cornell University)
Publication date
30 January 2026
Document type
Preprint