Contract theory in continuous-time models
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stochastic differential equationstochastic maximum principlecontinuous-time modelsoptimal contractcontract theoryoptimal stochastic control, principal-agent model
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Optimal stochastic control (93E20) Stochastic integral equations (60H20)
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Cited in
(81)- A strong convergence rate of the averaging principle for two-time-scale forward-backward stochastic differential equations
- A linear-quadratic partially observed Stackelberg stochastic differential game with application
- Robust Contracts in Continuous Time
- Optimal compensation with hidden action and lump-sum payment in a continuous-time model
- A mathematical treatment of bank monitoring incentives
- Dynamic approaches for some time-inconsistent optimization problems
- The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps
- Equilibrium contracts and boundedly rational expectations
- Dynamic contracting under imperfect public information and asymmetric beliefs
- A Continuous-Time Version of the Principal–Agent Problem
- Anticipated backward SDEs with jumps and quadratic-exponential growth drivers
- Sharing profits in the sharing economy
- Optimal contracts
- Optimal contracts in continuous-time models
- A continuous-time version of a delegated asset management problem
- Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions
- On contractual approach for non-convex production economies
- Dynamic agency with persistent observable shocks
- Optimal contracts for agents with adverse selection
- Conditional Analysis and a Principal-Agent Problem
- Continuous-time mean-variance portfolio selection with random horizon in an incomplete market
- Service contracts: a stochastic model.
- A duality approach to continuous-time contracting problems with limited commitment
- Dynamic contract design for systemic cyber risk management of interdependent enterprise networks
- Contracts without memory in multiperiod agency models
- Stochastic control for a class of nonlinear kernels and applications
- Angel capitalists exit decisions under information asymmetry: IPO or acquisitions
- The risk-sharing problem under limited liability constraints in a single-period model
- Choices in contractivity theory
- Optimal portfolio with power utility of absolute and relative wealth
- Contracting theory with competitive interacting agents
- Incentives, lockdown, and testing: from Thucydides' analysis to the COVID-19 pandemic
- Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games. II: The finite horizon case
- Contract theory in a VUCA world
- Global solutions of stochastic Stackelberg differential games under convex control constraint
- A solvable dynamic principal-agent model with linear marginal productivity
- A solvable time-inconsistent principal-agent problem
- Constrained stochastic LQ control with regime switching and application to portfolio selection
- Principal-agent problem with common agency without communication
- Formulating principal-agent service contracts for a revenue generating unit
- A risk-sharing framework of bilateral contracts
- INCOMPLETE CONTRACTS MODELLING
- Random Horizon Principal-Agent Problems
- A global stochastic maximum principle for fully coupled forward-backward stochastic systems
- A two-dimensional control problem arising from dynamic contracting theory
- Stackelberg stochastic differential game with asymmetric noisy observations
- The maximum principle for global solutions of stochastic Stackelberg differential games
- Optimal contracts in portfolio delegation
- Finite state graphon games with applications to epidemics
- Asymptotic expansion for forward-backward SDEs with jumps
- Stochastic linear quadratic Stackelberg differential game with overlapping information
- Gaussian density estimates for the solution of singular stochastic Riccati equations.
- On the dynamic programming approach to incentive constraint problems
- Optimal contract with moral hazard for public private partnerships
- Continuous-time incentives in hierarchies
- Existence and characterization of optimal employment contracts on a continuous state space
- On repeated games with imperfect public monitoring: from discrete to continuous time
- Contract Theory: Discrete- and Continuous-Time Models
- Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions
- Robust portfolios and weak incentives in long-run investments
- Dynamic programming approach to principal-agent problems
- Large deviations for non-Markovian diffusions and a path-dependent eikonal equation
- Dynamic optimal contract under parameter uncertainty with risk-averse agent and principal
- Mean-field leader-follower games with terminal state constraint
- An exit contract optimization problem
- Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
- Social network learning: uncertainty, heterogeneity, and the application in principal-agent relationships
- Stackelberg game approach to mixed stochastic \(H_2 /H_{\infty}\) control for mean-field jump-diffusions systems
- Recent developments in machine learning methods for stochastic control and games
- Optimal stopping contract for public private partnerships under moral hazard
- Book Review: Contract theory in continuous-time models
- A polynomial scheme of asymptotic expansion for backward SDEs and option pricing
- Zero-sum stochastic linear-quadratic Stackelberg differential games with jumps
- A principal-agent approach to capacity remuneration mechanisms
- The existence and uniqueness of viscosity solution to a kind of Hamilton-Jacobi-Bellman equation
- Optimal Brokerage Contracts in Almgren–Chriss Model with Multiple Clients
- \( L^p\) estimations of fully coupled FBSDEs
- Optimal contracts to a principal-agent model with a diffusion coefficient affected by firm size
- Principal-agent problem with multiple principals
- Research on investment incorporating both environmental performance and long (short) term financial performance of firms
- Public private partnerships contract under moral hazard and ambiguous information
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