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- W4384203558 abstract "This paper considers an optimal stopping problem with weighted discounting, and the state process is modeled by a general exponential Lévy process. Due to the time inconsistency, we provide a new martingale method based on a verification theorem for the equilibrium stopping strategies. As an application, we generalize an investment problem with non-exponential discounting studied by Grenadier and Wang (J. Financ. Econom., 84 (2007), pp. 2–39) and Ebert, Wei, and Zhou (J. Econom. Theory, 189 (2020), 105089) to Lévy models. Closed-form equilibrium stopping strategies are derived, which are closely related to the running maximum of the state process. The impacts of discounting preferences on the equilibrium stopping strategies are examined analytically." @default.
- W4384203558 created "2023-07-14" @default.
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- W4384203558 date "2023-07-13" @default.
- W4384203558 modified "2023-10-01" @default.
- W4384203558 title "Optimal Stopping for Exponential Lévy Models with Weighted Discounting" @default.
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- W4384203558 doi "https://doi.org/10.1137/22m1513538" @default.
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