A note on persistent private information

DOI10.1007/S11579-024-00378-8MaRDI QIDQ7005043zbMATH OpenFDO

Authors B. Acciaio, Robert Alexander Crowell, Jakša Cvitanić

Publication date 2 April 2025

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11579-024-00378-8

zbMATH Keywords

incentive-compatible contractspersistent informationprincipal-agent problemtruthful reporting

Mathematics Subject Classification ID

Contract theory (moral hazard, adverse selection) (91B41) Principal-agent models (91B43)

Cites work

• A Continuous-Time Version of the Principal–Agent Problem
• A primer on the calculus of variations and optimal control theory
• Asset pricing under optimal contracts
• Dynamic contracting with persistent shocks
• Dynamic contracts when the agent's quality is unknown
• Dynamic programming approach to principal-agent problems
• On the quadratic variation process of a continuous martingale
• Optimal stochastic control, stochastic target problems, and backward SDE.
• Persistent private information
• Random Horizon Principal-Agent Problems

Cited in

(1)

• Optimal contract design via relaxation: application to the problem of brokerage fee for a client with private signal

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