A variational approach to contracting under imperfect observations

DOI10.1137/110859075MaRDI QIDQ4902228zbMATH OpenOpenAlexFDO

Authors Agostino Capponi, Jakša Cvitanić, Türkay Yolcu

Publication date 25 January 2013

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/110859075

zbMATH Keywords

stochastic filteringvariational calculusrisk-sharinghidden actionoptimal compensation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial applications of other theories (91G80) Optimal stochastic control (93E20) Optimality conditions for free problems in two or more independent variables (49K10)

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(6)

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• Learning approximately optimal contracts
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• Dynamic contracting: accidents lead to nonlinear contracts
• On the effects of the degree of discretion in reporting managerial performance
• Dynamic managerial compensation: a variational approach

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