Optimal compensation with hidden action and lump-sum payment in a continuous-time model

DOI10.1007/s00245-008-9050-0zbMath1166.49024MaRDI QIDQ2391249

Jianfeng Zhang, Xuhu Wan, Jakša Cvitanić

Publication date: 24 July 2009

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.387.3905

zbMATH Keywords

stochastic maximum principle; moral hazard; principal-agent problems; hidden action; forward-backward SDEs; second-best optimal contracts and incentives

Mathematics Subject Classification ID

93E20: Optimal stochastic control

49K45: Optimality conditions for problems involving randomness

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