Optimal contracts in continuous-time models

DOI10.1155/JAMSA/2006/95203zbMath1140.91433OpenAlexW2142453219MaRDI QIDQ937467

Xuhu Wan, Jakša Cvitanić, Jianfeng Zhang

Publication date: 15 August 2008

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/54323

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (17)

Moral hazard under ambiguity ⋮ Optimal risk-sharing with effort and project choice ⋮ Optimal contracts in portfolio delegation ⋮ Necessary and sufficient optimality conditions for relaxed and strict control of forward-backward doubly SDEs with jumps under full and partial information ⋮ Portfolio selection of a closed-end mutual fund ⋮ Risk-sharing and optimal contracts with large exogenous risks ⋮ Necessary conditions for optimal control of forward-backward stochastic systems with random jumps ⋮ A class of optimal control problems of forward-backward systems with input constraint ⋮ A continuous-time analysis of optimal restructuring of contracts with costly information disclosure ⋮ Recursive StochasticH₂/H_∞Control Problem for Delay Systems Involving Continuous and Impulse Controls ⋮ A solvable time-inconsistent principal-agent problem ⋮ Contracting Theory with Competitive Interacting Agents ⋮ Optimal compensation with adverse selection and dynamic actions ⋮ Delegated dynamic portfolio management under mean-variance preferences ⋮ Linear−quadratic optimal control and nonzero‐sum differential game of forward−backward stochastic system ⋮ Existence of optimal controls for systems of controlled forward-backward doubly SDEs ⋮ Stochastic Linear Quadratic Stackelberg Differential Game with Overlapping Information

Cites Work

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• Efficient intertemporal allocations with recursive utility.
• Solution of forward-backward stochastic differential equations
• Optimal risk-sharing with effort and project choice
• Optimal portfolio delegation when parties have different coefficients of risk aversion
• Aggregation and Linearity in the Provision of Intertemporal Incentives
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control

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