Gaussian agency problems with memory and linear contracts
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Cites work
- A Continuous-Time Version of the Principal–Agent Problem
- A storage model with self-similar input
- Affine Volterra processes
- Aggregation and Linearity in the Provision of Intertemporal Incentives
- BSDE with quadratic growth and unbounded terminal value
- Discrete-Time Approximations of the Holmstrom-Milgrom Brownian-Motion Model of Intertemporal Incentive Provision
- Dynamic programming approach to principal-agent problems
- Dynamic Programming Conditions for Partially Observable Stochastic Systems
- Dynamic Security Design: Convergence to Continuous Time and Asset Pricing Implications
- Fractional Brownian Motions, Fractional Noises and Applications
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- scientific article; zbMATH DE number 194918 (Why is no real title available?)
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- Income fluctuation and asymmetric information: An example of a repeated principal-agent problem
- Large risks, limited liability, and dynamic moral hazard
- On optimal sharing rules in discrete- and continuous-time principal-agent problems with exponential utility
- On Repeated Moral Hazard with Discounting
- Persistent private information
- Repeated Moral Hazard
- Self-similarity in high-speed packet traffic: analysis and modeling of Ethernet traffic measurements
- Stochastic analysis of the fractional Brownian motion
- The first-order approach to the continuous-time principal-agent problem with exponential utility
- Utility maximization in incomplete markets
- Volatility is rough
- Wienersche Spiralen und einige andere interessante Kurven im Hilbertschen Raum.
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