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Moral hazard under ambiguity (Q1626505)

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Language	Label	Description	Also known as
English	Moral hazard under ambiguity	scientific article

Statements

scholarly article

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Moral hazard under ambiguity (English)

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Thibaut Mastrolia

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Dylan Possamaï

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Journal of Optimization Theory and Applications

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publication date

27 November 2018

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full work available at URL

https://arxiv.org/abs/1511.03616

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zbMATH Keywords

risk sharing

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moral hazard

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principal-agent

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second-order BSDEs

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volatility uncertainty

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Hamilton-Jacobi-Bellman-Isaacs PDEs

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MaRDI profile type

MaRDI publication profile

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Optimal derivatives design for mean-variance agents under adverse selection

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Optimal compensation with adverse selection and dynamic actions

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Aggregation and Linearity in the Provision of Intertemporal Incentives

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The first-order approach to the continuous-time principal-agent problem with exponential utility

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Optimal contracts in continuous-time models

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A Continuous-Time Version of the Principal–Agent Problem

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Large Risks, Limited Liability, and Dynamic Moral Hazard

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A mathematical treatment of bank monitoring incentives

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Dynamic contracting under imperfect public information and asymmetric beliefs

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Dynamic contracts when the agent's quality is unknown

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Dynamic programming approach to principal-agent problems

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On Repeated Moral Hazard with Discounting

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Maxmin expected utility with non-unique prior

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A theoretical framework for the pricing of contingent claims in the presence of model uncertainty

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Ambiguous volatility, possibility and utility in continuous time

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Persistent Private Information

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Ambiguity, Risk, and Asset Returns in Continuous Time

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Wellposedness of second order backward SDEs

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On pathwise stochastic integration

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Quasi-sure stochastic analysis through aggregation

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Pathwise construction of stochastic integrals

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ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES

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Random \(G\)-expectations

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Constructing sublinear expectations on path space

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Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.

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Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II

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Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations

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Stochastic target games with controlled loss

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Stochastic Perron’s method and verification without smoothness using viscosity comparison: The linear case

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Stochastic Perron's Method for Hamilton--Jacobi--Bellman Equations

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Stochastic Perron's Method and Elementary Strategies for Zero-Sum Differential Games

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A complete representation theorem for <i>G</i>-martingales

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Two Person Zero-Sum Game in Weak Formulation and Path Dependent Bellman--Isaacs Equation

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On the convergence of monotone schemes for path-dependent PDEs

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Superreplication under volatility uncertainty for measurable claims

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Second-order backward stochastic differential equations under a monotonicity condition

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Second order backward stochastic differential equations with quadratic growth

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Quadratic BSDEs with convex generators and unbounded terminal conditions

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Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market

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Backward equations, stochastic control and zero-sum stochastic differential games

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ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1007/S10957-018-1230-8

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Sitelinks

Mathematics(1 entry)

mardi Publication:1626505

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