Dynamic programming approach to principal-agent problems

DOI10.1007/s00780-017-0344-4zbMath1391.91116arXiv1510.07111OpenAlexW2964157002MaRDI QIDQ1691442

Dylan Possamaï, Nizar Touzi, Jakša Cvitanić

Publication date: 16 January 2018

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.07111

zbMATH Keywords

contract theoryprincipal-agent problemHJB equationssecond-order backward SDEsstochastic control of non-Markovian systems

Mathematics Subject Classification ID

Related Items (40)

Random Horizon Principal-Agent Problems ⋮ Finite state graphon games with applications to epidemics ⋮ Moral hazard under ambiguity ⋮ Incentives, lockdown, and testing: from Thucydides' analysis to the COVID-19 pandemic ⋮ Nonlinear predictable representation and \({\mathbb{L}^1} \)-solutions of backward SDEs and second-order backward SDEs ⋮ Governmental incentives for Green bonds investment ⋮ Optimal Incentives to Mitigate Epidemics: A Stackelberg Mean Field Game Approach ⋮ Zero-sum path-dependent stochastic differential games in weak formulation ⋮ Pollution Regulation for Electricity Generators in a Transmission Network ⋮ Mean–field moral hazard for optimal energy demand response management ⋮ Optimal make–take fees for market making regulation ⋮ Risk-sharing and optimal contracts with large exogenous risks ⋮ Entropic Optimal Planning for Path-Dependent Mean Field Games ⋮ Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents ⋮ Optimal stopping contract for public private partnerships under moral hazard ⋮ Principal-agent problem with multiple principals ⋮ Continuous-time incentives in hierarchies ⋮ A Risk-Sharing Framework of Bilateral Contracts ⋮ An exit contract optimization problem ⋮ Optimal contracts and asset prices in a continuous-time delegated portfolio management problem ⋮ A continuous-time model of self-protection ⋮ A two-dimensional control problem arising from dynamic contracting theory ⋮ Contracting Theory with Competitive Interacting Agents ⋮ Mean-Field Leader-Follower Games with Terminal State Constraint ⋮ Stochastic control for a class of nonlinear kernels and applications ⋮ Optimal compensation and investment affected by firm size and time-varying external factors ⋮ Robustness and approximation for the linear contract design ⋮ Regulation of Renewable Resource Exploitation ⋮ Bank monitoring incentives under moral hazard and adverse selection ⋮ A Tale of a Principal and Many, Many Agents ⋮ Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints ⋮ Contract Theory in a VUCA World ⋮ Quadratic \(G\)-BSDEs with convex generators and unbounded terminal conditions ⋮ Principal-agent problem under the linear contract ⋮ Optimal contracting under mean-volatility joint ambiguity uncertainties ⋮ A PRINCIPAL–AGENT APPROACH TO CAPACITY REMUNERATION MECHANISMS ⋮ Stochastic Linear Quadratic Stackelberg Differential Game with Overlapping Information ⋮ Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games. II: The finite horizon case ⋮ Escrow and Clawback ⋮ Optimal Electricity Demand Response Contracting with Responsiveness Incentives

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
• Quasi-sure stochastic analysis through aggregation
• Pathwise construction of stochastic integrals
• Wellposedness of second order backward SDEs
• Martingale representation theorem for the \(G\)-expectation
• Adapted solution of a backward stochastic differential equation
• Contract theory in continuous-time models
• On optimal sharing rules in discrete- and continuous-time principal-agent problems with exponential utility
• Stochastic integration and \(L^ p-\)theory of semimartingales
• The first-best sharing rule in the continuous-time principal-agent problem with exponential utility
• The first-order approach to the continuous-time principal-agent problem with exponential utility
• Corporate insurance and managerial incentives
• Asymptotic efficiency in dynamic principal-agent problems
• Moral hazard under ambiguity
• Stochastic control for a class of nonlinear kernels and applications
• On pathwise stochastic integration
• Optimal contracting under mean-volatility joint ambiguity uncertainties
• Optimal risk-sharing with effort and project choice
• Optimal compensation with hidden action and lump-sum payment in a continuous-time model
• Constructing sublinear expectations on path space
• Controlled Markov processes and viscosity solutions
• \(L^p\) solutions of backward stochastic differential equations.
• On the Existence of Optimal Controls
• Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
• A Continuous-Time Version of the Principal–Agent Problem
• Aggregation and Linearity in the Provision of Intertemporal Incentives
• On Repeated Moral Hazard with Discounting
• Backward Stochastic Differential Equations in Finance
• Compactification methods in the control of degenerate diffusions: existence of an optimal control
• An Overview of Viscosity Solutions of Path-Dependent PDEs
• Discrete-Time Approximations of the Holmstrom-Milgrom Brownian-Motion Model of Intertemporal Incentive Provision
• Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
• Existence of Optimal Stochastic Control Laws
• Optimal Electricity Demand Response Contracting with Responsiveness Incentives

This page was built for publication: Dynamic programming approach to principal-agent problems