The Principal-Agent Problem; A Stochastic Maximum Principle Approach

preprint2014arXivOpen access

Abstract

We study a general class of Principal-Agent problems in continuous time under hidden action. By formulating the model as a coupled stochastic optimal control problem we are able to find a set of necessary conditions characterizing optimal contracts, using the stochastic maximum principle. An example is carried out to illustrate the proposed approach to the Principal-Agent problem under linear stochastic dynamics with a quadratic performance function.

Explore this paper’s authors, topics and related work.

Building this map preview

BZPEER is loading the nearby papers, people, topics and institutions for this page.

Reviews 0

Write a reviewWrite

No reviews yet.

Discussion 0

Add a commentWrite

No comments yet.