Sequential optimal contracting in continuous time

• Tác giả: Guillermo Alonso Alvarez, Erhan Bayraktar, Ibrahim Ekren, Liwei Huang
• Ngôn ngữ: eng
• Ký hiệu phân loại: 003.56 Decision theory
• Thông tin xuất bản: 2024
• Bộ sưu tập: Báo, Tạp chí
• ID: 204828

Tóm tắt

In this paper we study a principal-agent problem in continuous time with multiple lump-sum payments (contracts) paid at different deterministic times. We reduce the non-zero sum Stackelberg game between the principal and agent to a standard stochastic optimal control problem. We apply our result to a benchmark model for which we investigate how different inputs (payment frequencies, payments' distribution, discounting factors, agent's reservation utility) affect the principal's value and agent's optimal compensations.