Random Horizon Principal-Agent Problems

DOI10.1137/20M1321620zbMath1483.91123arXiv2002.10982MaRDI QIDQ5037495

Nizar Touzi, Zhenjie Ren, Junjian Yang, Yi-Qing Lin

Publication date: 1 March 2022

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.10982

zbMATH Keywords

moral hazard; random horizon; second-order backward SDE; first best and second best contracting

Mathematics Subject Classification ID

93E20: Optimal stochastic control

91B41: Contract theory (moral hazard, adverse selection)

91B43: Principal-agent models

Cites Work

• Unnamed Item
• Pathwise construction of stochastic integrals
• Wellposedness of second order backward SDEs
• Contract theory in continuous-time models
• Dynamic programming approach to principal-agent problems
• Stochastic control for a class of nonlinear kernels and applications
• On pathwise stochastic integration
• Second order backward SDE with random terminal time
• Backward stochastic PDEs related to the utility maximization problem
• Principal-Agent Problems with Exit Options
• A Continuous-Time Version of the Principal–Agent Problem
• Aggregation and Linearity in the Provision of Intertemporal Incentives
• Backward Stochastic Differential Equations in Finance
• BSDE<scp>s</scp> with a random terminal time driven by a monotone generator and their links with PDE<scp>s</scp>
• An Overview of Viscosity Solutions of Path-Dependent PDEs
• Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
• Existence of Optimal Stochastic Control Laws