A Bayesian approach to continuous type principal-agent problems

DOI10.1016/j.ejor.2019.07.058zbMath1431.91214OpenAlexW2966070569MaRDI QIDQ2327651

A. George Assaf, Mike G. Tsionas, Ruijun Bu

Publication date: 15 October 2019

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://eprints.lancs.ac.uk/id/eprint/149588/1/paper_rev4_July_2019.pdf

zbMATH Keywords

Bayesian analysisMarkov chain Monte Carlopricingprincipal-agent models

Mathematics Subject Classification ID

Principal-agent models (91B43)

Cites Work

• General hit-and-run Monte Carlo sampling for evaluating multidimensional integrals
• Sample average approximation for the continuous type principal-agent problem
• Rates of convergence of the Hastings and Metropolis algorithms
• Hit-and-Run Algorithms for Generating Multivariate Distributions
• Letter to the Editor—-A Closed Form Solution of Certain Programming Problems

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