Optimal Stopping for Exponential Lévy Models with Weighted Discounting
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Bibliographic record
Abstract
This paper considers an optimal stopping problem with weighted discounting, and the state process is modeled by a general exponential L\'evy 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 L\'evy 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.
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Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.001 |
| Science and technology studies | 0.001 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it