A Variational Approach to Contracting under Imperfect Observations

DOI10.1137/110859075zbMath1255.91445MaRDI QIDQ4902228

Jakša Cvitanić, Agostino Capponi, 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

variational calculus; stochastic filtering; risk-sharing; hidden action; optimal compensation

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

93E20: Optimal stochastic control

91G80: Financial applications of other theories

49K10: Optimality conditions for free problems in two or more independent variables

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