Sequential optimal contracting in continuous time

DOI10.3934/FMF.2025001MaRDI QIDQ7000870zbMATH OpenFDO

Authors G. Álvarez, Erhan Bayraktar, Ibrahim Ekren, Liwei Huang

Publication date 7 April 2025

Published in Frontiers of Mathematical Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.3934/FMF.2025001

zbMATH Keywords

backward stochastic differential equationscontract theoryprincipal-agentstochastic controlviscosity solutions of partial differential equations

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Hierarchical games (including Stackelberg games) (91A65) Contract theory (moral hazard, adverse selection) (91B41) Principal-agent models (91B43) Optimal stochastic control (93E20)

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