A Note on the Multi-Agent Contracts in Continuous Time

• Tác giả: Qi Luo, Romesh Saigal
• Ngôn ngữ: eng
• Ký hiệu phân loại: 003.8 Systems distinguished in relation to time
• Thông tin xuất bản: 2017
• Bộ sưu tập: Metadata
• ID: 161597

Tóm tắt

Dynamic contracts with multiple agents is a classical decentralized decision-making problem with asymmetric information. In this paper, we extend the single-agent dynamic incentive contract model in continuous-time to a multi-agent scheme in finite horizon and allow the terminal reward to be dependent on the history of actions and incentives. We first derive a set of sufficient conditions for the existence of optimal contracts in the most general setting and conditions under which they form a Nash equilibrium. Then we show that the principal's problem can be converted to solving Hamilton-Jacobi-Bellman (HJB) equation requiring a static Nash equilibrium. Finally, we provide a framework to solve this problem by solving partial differential equations (PDE) derived from backward stochastic differential equations (BSDE).