A mathematical treatment of bank monitoring incentives
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Publication:471170
DOI10.1007/s00780-013-0202-yzbMath1307.60098arXiv1202.2076OpenAlexW3125513147MaRDI QIDQ471170
Dylan Possamaï, Henri F. Pagès
Publication date: 14 November 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1202.2076
stochastic controlverification theoremdynamic moral hazardoptimal incentivesoptimal securitizationprincipal/agent problem
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Credit risk (91G40)
Related Items (10)
Moral hazard under ambiguity ⋮ Dynamic Contracting: Accidents Lead to Nonlinear Contracts ⋮ Optimal contract with moral hazard for Public Private Partnerships ⋮ Risk-sharing and optimal contracts with large exogenous risks ⋮ Optimal stopping contract for public private partnerships under moral hazard ⋮ Stability of backward stochastic differential equations: the general Lipschitz case ⋮ A continuous-time model of self-protection ⋮ Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality ⋮ Singular optimal controls for stochastic recursive systems under convex control constraint ⋮ Bank monitoring incentives under moral hazard and adverse selection
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