Contract Theory in a VUCA World (Q5232267)

scientific article; zbMATH DE number 7100257

Language	Label	Description	Also known as
English	Contract Theory in a VUCA World	scientific article; zbMATH DE number 7100257

Statements

instance of

scholarly article

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title

Contract Theory in a VUCA World (English)

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author

Nicolás Hernández Santibáñez

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Thibaut Mastrolia

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published in

SIAM Journal on Control and Optimization

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publication date

30 August 2019

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full work available at URL

https://arxiv.org/abs/1803.08951

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https://epubs.siam.org/doi/pdf/10.1137/18M1184527

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zbMATH Keywords

moral hazard

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principal-agent

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second order BSDEs

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volatility uncertainty

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Hamilton-Jacobi-Bellman-Isaacs PDEs

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stochastic Perron's method

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MaRDI profile type

MaRDI publication profile

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cites work

Stochastic Perron’s method and verification without smoothness using viscosity comparison: The linear case

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Stochastic Perron's Method for Hamilton--Jacobi--Bellman Equations

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Stochastic Perron’s method and verification without smoothness using viscosity comparison: Obstacle problems and Dynkin games

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Q5722776

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Adaptive Robust Control under Model Uncertainty

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Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations

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Value in mixed strategies for zero-sum stochastic differential games without Isaacs condition

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Pathwise strategies for stochastic differential games with an erratum to ``Stochastic differential games with asymmetric information''

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Stochastic differential games with asymmetric information

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Dynamic programming approach to principal-agent problems

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Contract theory in continuous-time models

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On viscosity solutions of path dependent PDEs

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Q4357500

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A Tale of a Principal and Many, Many Agents

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Backward equations, stochastic control and zero-sum stochastic differential games

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Q4357505

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Aggregation and Linearity in the Provision of Intertemporal Incentives

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Q5331036

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On pathwise stochastic integration

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Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. I: The case of bounded stochastic evolutions

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Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. III: Uniqueness of viscosity solutions for general second-order equations

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Q3977387

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Differential Games, Optimal Control and Directional Derivatives of Viscosity Solutions of Bellman’s and Isaacs’ Equations

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Moral hazard under ambiguity

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Pathwise construction of stochastic integrals

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Two Person Zero-Sum Game in Weak Formulation and Path Dependent Bellman--Isaacs Equation

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Second order backward stochastic differential equations with quadratic growth

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Stochastic control for a class of nonlinear kernels and applications

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An Overview of Viscosity Solutions of Path-Dependent PDEs

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A Continuous-Time Version of the Principal–Agent Problem

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Stochastic Perron's Method and Elementary Strategies for Zero-Sum Differential Games

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A note on the strong formulation of stochastic control problems with model uncertainty

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Wellposedness of second order backward SDEs

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Dual formulation of second order target problems

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Identifiers

zbMATH Open document ID

1422.91430

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DOI

10.1137/18M1184527;

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5232267