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

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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