An exit contract optimization problem
Fuente:
arXiv
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| Autori principali: | , , |
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| Natura: | Preprint |
| Pubblicazione: |
2021
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| _version_ | 1866929402942586880 |
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| author | He, Xihao Tan, Xiaolu Zou, Jun |
| author_facet | He, Xihao Tan, Xiaolu Zou, Jun |
| contents | We study an exit contract design problem, where one provides a universal exit contract to multiple heterogeneous agents, with which each agent chooses an optimal (exit) stopping time. The problem consists in optimizing the universal exit contract w.r.t. some criterion depending on the contract as well as the agents' exit times. Under a technical monotonicity condition, and by using Bank-El Karoui's representation of stochastic processes, we are able to transform the initial contract optimization problem into an optimal control problem. The latter is also equivalent to an optimal multiple stopping problem and the existence of the optimal contract is proved. We next show that the problem in the continuous-time setting can be approximated by a sequence of discrete-time ones, which would induce a natural numerical approximation method. We finally discuss the optimaization problem over the class of all Markovian and/or continuous exit contracts. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2108_09008 |
| institution | arXiv |
| publishDate | 2021 |
| record_format | arxiv |
| spellingShingle | An exit contract optimization problem He, Xihao Tan, Xiaolu Zou, Jun Probability Optimization and Control 60G40, 60G07, 49M25 We study an exit contract design problem, where one provides a universal exit contract to multiple heterogeneous agents, with which each agent chooses an optimal (exit) stopping time. The problem consists in optimizing the universal exit contract w.r.t. some criterion depending on the contract as well as the agents' exit times. Under a technical monotonicity condition, and by using Bank-El Karoui's representation of stochastic processes, we are able to transform the initial contract optimization problem into an optimal control problem. The latter is also equivalent to an optimal multiple stopping problem and the existence of the optimal contract is proved. We next show that the problem in the continuous-time setting can be approximated by a sequence of discrete-time ones, which would induce a natural numerical approximation method. We finally discuss the optimaization problem over the class of all Markovian and/or continuous exit contracts. |
| title | An exit contract optimization problem |
| topic | Probability Optimization and Control 60G40, 60G07, 49M25 |
| url | https://arxiv.org/abs/2108.09008 |