Principal-multiagents problem under equivalent changes of measure: general study and an existence result
DOI10.1016/J.SPA.2024.104448MaRDI QIDQ6615511
Publication date: 8 October 2024
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
moral hazarddynamic programming approachBSDEs with jumpsregularity of the value functionPIDEsprincipal-multiagents
Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Contract theory (moral hazard, adverse selection) (91B41) Principal-agent models (91B43)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- A general Doob-Meyer-Mertens decomposition for \(g\)-supermartingale systems
- A mathematical treatment of bank monitoring incentives
- Optimal incentive contracts with multiple agents
- Backward stochastic differential equations with jumps and related nonlinear expectations
- Dynamic programming approach to principal-agent problems
- A stability approach for solving multidimensional quadratic BSDEs
- Existence and non-existence in the moral hazard problem
- A simple constructive approach to quadratic BSDEs with or without delay
- Solvability of backward stochastic differential equations with quadratic growth
- Existence and monotonicity of solutions to moral hazard problems
- A continuous-time model of self-protection
- Multidimensional quadratic and subquadratic BSDEs with special structure
- Backward stochastic differential equations and integral-partial differential equations
- Dynamic Contracting: Accidents Lead to Nonlinear Contracts
- On the Existence of Optimal Controls
- Optimal Incentive Schemes with Many Agents
- A Continuous-Time Version of the Principal–Agent Problem
- The First-Order Approach to Principal-Agent Problems
- Aggregation and Linearity in the Provision of Intertemporal Incentives
- Justifying the First-Order Approach to Principal-Agent Problems
- Existence of an Optimal Markovian Filter for the Control under Partial Observations
- An Analysis of the Principal-Agent Problem
- The Theory of Moral Hazard and Unobservable Behaviour: Part I
- Lp- Theory for fully nonlinear uniformly parabolic equations
- Contracting Theory with Competitive Interacting Agents
- Generalized one-sided estimates for solutions of Hamilton-Jacobi equations and applications
- Optimal Make-Take Fees in a Multi Market-Maker Environment
- Large Risks, Limited Liability, and Dynamic Moral Hazard
- Stochastic Calculus and Applications
- Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
- Pollution Regulation for Electricity Generators in a Transmission Network
- Optimal make–take fees for market making regulation
- Continuous-time incentives in hierarchies
This page was built for publication: Principal-multiagents problem under equivalent changes of measure: general study and an existence result
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6615511)