Sequential optimal contracting in continuous time
Fuente:
arXiv
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| Auteurs principaux: | , , , |
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| Format: | Preprint |
| Publié: |
2024
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| _version_ | 1866910687154929664 |
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| author | Alvarez, Guillermo Alonso Bayraktar, Erhan Ekren, Ibrahim Huang, Liwei |
| author_facet | Alvarez, Guillermo Alonso Bayraktar, Erhan Ekren, Ibrahim Huang, Liwei |
| contents | In this paper we study a principal-agent problem in continuous time with multiple lump-sum payments (contracts) paid at different deterministic times. We reduce the non-zero sum Stackelberg game between the principal and agent to a standard stochastic optimal control problem. We apply our result to a benchmark model for which we investigate how different inputs (payment frequencies, payments' distribution, discounting factors, agent's reservation utility) affect the principal's value and agent's optimal compensations. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2411_04262 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Sequential optimal contracting in continuous time Alvarez, Guillermo Alonso Bayraktar, Erhan Ekren, Ibrahim Huang, Liwei Optimization and Control Theoretical Economics Probability In this paper we study a principal-agent problem in continuous time with multiple lump-sum payments (contracts) paid at different deterministic times. We reduce the non-zero sum Stackelberg game between the principal and agent to a standard stochastic optimal control problem. We apply our result to a benchmark model for which we investigate how different inputs (payment frequencies, payments' distribution, discounting factors, agent's reservation utility) affect the principal's value and agent's optimal compensations. |
| title | Sequential optimal contracting in continuous time |
| topic | Optimization and Control Theoretical Economics Probability |
| url | https://arxiv.org/abs/2411.04262 |