Moral hazard under ambiguity
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Publication:1626505
DOI10.1007/S10957-018-1230-8zbMath1418.91278arXiv1511.03616OpenAlexW2963120437MaRDI QIDQ1626505
Thibaut Mastrolia, Dylan Possamaï
Publication date: 27 November 2018
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1511.03616
moral hazardrisk sharingprincipal-agentvolatility uncertaintyHamilton-Jacobi-Bellman-Isaacs PDEssecond-order BSDEs
Related Items (10)
Governmental incentives for Green bonds investment ⋮ Zero-sum path-dependent stochastic differential games in weak formulation ⋮ Public private partnerships contract under moral hazard and ambiguous information ⋮ Dynamic programming approach to principal-agent problems ⋮ Optimal stopping contract for public private partnerships under moral hazard ⋮ Stochastic control for a class of nonlinear kernels and applications ⋮ Contract Theory in a VUCA World ⋮ G-expected utility maximization with ambiguous equicorrelation ⋮ Optimal contracting under mean-volatility joint ambiguity uncertainties ⋮ Model Uncertainty: A Reverse Approach
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