Dynamic Contracting: Accidents Lead to Nonlinear Contracts

DOI10.1137/140986864zbMath1338.91086OpenAlexW3124755175MaRDI QIDQ3195112

Agostino Capponi, Christoph Frei

Publication date: 21 October 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/140986864

zbMATH Keywords

martingale representationdynamic contractingnonlinear contracts

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Related Items (3)

Risk-sharing and optimal contracts with large exogenous risks ⋮ An exit contract optimization problem ⋮ A continuous-time model of self-protection

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