Optimal compensation with hidden action and lump-sum payment in a continuous-time model

Applied Mathematics and Optimization

Volumn 59, Issue 1, 2009, Pages 99-146

  Cvitanić, Jakša ^a   Wan, Xuhu ^b   Zhang, Jianfeng ^c  

^a CALIFORNIA INSTITUTE OF TECHNOLOGY   (United States)

^b HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

^c UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

Author keywords

Forward backward SDEs; Hidden action; Moral hazard; Principal agent problems; Second best optimal contracts and incentives; Stochastic maximum principle

Indexed keywords

FORWARD-BACKWARD SDES; HIDDEN ACTION; MORAL HAZARD; PRINCIPAL-AGENT PROBLEMS; SECOND-BEST OPTIMAL CONTRACTS AND INCENTIVES; STOCHASTIC MAXIMUM PRINCIPLE;

CONTINUOUS TIME SYSTEMS; CONTRACTS; MAXIMUM PRINCIPLE; PROBABILITY DENSITY FUNCTION; RISK MANAGEMENT; TRAJECTORIES;

FUNCTIONS;

EID: 57849165486     PISSN: 00954616     EISSN: 14320606     Source Type: Journal    
DOI: 10.1007/s00245-008-9050-0     Document Type: Article

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