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Control And Optimization Seminar
A Time-Inconsistent Dynkin Game: From Intra-personal To Inter-personal Equilibria
Yu-Jui Huang (University Of Colorado)

Monday, March 29, 2021
2:00pm – 3:00pm

Other
online

Webex Meeting link: https://uconn-cmr.webex.com/uconn-cmr/j.php?MTID=m7355d32991ed9bdb02958b7e4520b236

Meeting number: 120 690 6296 Password: UConn

Abstract: This paper studies a nonzero-sum Dynkin game in discrete time under non-exponential discounting. For both players, there are two levels of game-theoretic reasoning intertwined. First, each player looks for an intra-personal equilibrium among her current and future selves, so as to resolve time inconsistency triggered by non-exponential discounting. Next, given the other player's chosen stopping policy, each player selects a best response among her intra-personal equilibria. A resulting inter-personal equilibrium is then a Nash equilibrium between the two players, each of whom employs her best intra-personal equilibrium with respect to the other player's stopping policy. Under appropriate conditions, we show that an inter-personal equilibrium exists, based on concrete iterative procedures along with Zorn's lemma. To illustrate our theoretic results, we investigate a two-player real options valuation problem: two firms negotiate a deal of cooperation to initiate a project jointly. By deriving inter-personal equilibria explicitly, we find that coercive power in negotiation depends crucially on the impatience levels of the two firms.

Speaker's bio: Dr. Huang is an Assitant Professor in the Department of Applied Mathematics at the University of Colorado. His research is focused on Mathematical Finance and Applied Probability. Please visit his website for more information: https://sites.google.com/site/yjhresearch/home.

Contact:

Bin Zou, bin.zou@uconn.edu

Control and Optimization (primary), UConn Master Calendar

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