A duality approach to continuous-time contracting problems with limited commitment
From MaRDI portal
Publication:900606
DOI10.1016/j.jet.2014.10.005zbMath1330.91116MaRDI QIDQ900606
Publication date: 22 December 2015
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jet.2014.10.005
dynamic programmingdualityrisk sharinglimited commitmentcontinuous-time contractsregulated Brownian motion
49L20: Dynamic programming in optimal control and differential games
93E20: Optimal stochastic control
49N15: Duality theory (optimization)
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