Dynamic programming approach to principal–agent problems

Finance and Stochastics

Volumn 22, Issue 1, 2018, Pages 1-37

  Cvitanić, Jakša ^a   Possamaï, Dylan ^b   Touzi, Nizar ^c  

^a CALIFORNIA INSTITUTE OF TECHNOLOGY   (United States)

^b UNIVERSITÉ PARIS DAUPHINE   (France)

^c ECOLE POLYTECHNIQUE   (France)

Author keywords

Contract theory; Hamilton Jacobi Bellman equations; Principal agent problem; Second order backward SDEs; Stochastic control of non Markov systems

Indexed keywords

EID: 85032484512     PISSN: 09492984     EISSN: 14321122     Source Type: Journal    
DOI: 10.1007/s00780-017-0344-4     Document Type: Article

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