Moral hazard under ambiguity

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

zbMATH Keywords

moral hazardrisk sharingprincipal-agentvolatility uncertaintyHamilton-Jacobi-Bellman-Isaacs PDEssecond-order BSDEs

Mathematics Subject Classification ID

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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