A Variational Approach to Contracting under Imperfect Observations

DOI10.1137/110859075zbMath1255.91445OpenAlexW2078324661MaRDI QIDQ4902228

Türkay Yolcu, Jakša Cvitanić, Agostino Capponi

Publication date: 25 January 2013

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

Full work available at URL: https://doi.org/10.1137/110859075

zbMATH Keywords

variational calculusstochastic filteringrisk-sharinghidden actionoptimal compensation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Optimality conditions for free problems in two or more independent variables (49K10)

Related Items (4)

Dynamic Contracting: Accidents Lead to Nonlinear Contracts ⋮ Optimal contracting with effort and misvaluation ⋮ Dynamic managerial compensation: a variational approach ⋮ Opaque bank assets and optimal equity capital

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