A solvable continuous time dynamic principal-agent model

DOI10.1016/j.jet.2015.07.006zbMath1330.91120OpenAlexW1949726554MaRDI QIDQ900607

Noah Williams

Publication date: 22 December 2015

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2015.07.006

zbMATH Keywords

moral hazarddynamic contractsprivate information

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items

Dynamic contract design for systemic cyber risk management of interdependent enterprise networks ⋮ Conditional Analysis and a Principal-Agent Problem ⋮ Dynamic costs and moral hazard: a duality-based approach ⋮ The optimal solution to a principal-agent problem with unknown agent ability ⋮ Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions ⋮ Renegotiation and dynamic inconsistency: contracting with non-exponential discounting ⋮ Introduction to symposium on dynamic contracts and mechanism design ⋮ Optimal contracts to a principal-agent model with a diffusion coefficient affected by firm size ⋮ A solvable dynamic principal-agent model with linear marginal productivity ⋮ A solvable time-inconsistent principal-agent problem ⋮ Dynamic optimal contract under parameter uncertainty with risk-averse agent and principal ⋮ Optimal R\&D investment strategy of pollution abatement and incentive mechanism design under asymmetric information ⋮ Optimal compensation and investment affected by firm size and time-varying external factors ⋮ Optimal contracts for agents with adverse selection ⋮ Stochastic Linear Quadratic Stackelberg Differential Game with Overlapping Information

Cites Work

• Unnamed Item
• Unnamed Item
• Repeated principal-agent relationships with lending and borrowing
• Unemployment insurance with hidden savings
• Dynamic managerial compensation: a variational approach
• Short-term contracts and long-term agency relationships
• Optimal cartel equilibria with imperfect monitoring
• Forward-backward stochastic differential equations and their applications
• The first-order approach to the continuous-time principal-agent problem with exponential utility
• Conjugate convex functions in optimal stochastic control
• Optimal compensation with hidden action and lump-sum payment in a continuous-time model
• Dynamic mechanism design with hidden income and hidden actions
• Efficient Allocations with Hidden Income and Hidden Storage
• Persistent Private Information
• 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
• On Repeated Moral Hazard with Discounting
• Justifying the First-Order Approach to Principal-Agent Problems
• Toward a Theory of Discounted Repeated Games with Imperfect Monitoring
• Duality Methods in the Control of Densities
• The Theory of Moral Hazard and Unobservable Behaviour: Part I
• Efficient Allocations in Dynamic Private Information Economies with Persistent Shocks: A First-Order Approach
• Dynamic Mechanism Design: A Myersonian Approach
• Sufficient conditions of optimality for stochastic systems with controllable diffusions
• Insurance and Taxation over the Life Cycle
• Business Cycle Accounting