Optimal Contract Design with Quadratic Effort Cost
Fuente:
arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2025
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| Acceso en línea: | |
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| _version_ | 1866916065609515008 |
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| author | Chen, Xinfu Qian, Shuaijie Qiao, Guan |
| author_facet | Chen, Xinfu Qian, Shuaijie Qiao, Guan |
| contents | The existence of an optimal contract of the principal-agent problem is a central issue in contract design. According to Cvitanić et al. [2], such an optimal contract can be derived from the existence of a classical solution to the corresponding Hamilton-Jacobi-Bellman (HJB) equation, which is a degenerate, fully nonlinear parabolic equation. In this work, we follow their model, consider the case with drift control, and prove the existence of the classical solution to the HJB equation. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2503_08503 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Optimal Contract Design with Quadratic Effort Cost Chen, Xinfu Qian, Shuaijie Qiao, Guan Mathematical Finance The existence of an optimal contract of the principal-agent problem is a central issue in contract design. According to Cvitanić et al. [2], such an optimal contract can be derived from the existence of a classical solution to the corresponding Hamilton-Jacobi-Bellman (HJB) equation, which is a degenerate, fully nonlinear parabolic equation. In this work, we follow their model, consider the case with drift control, and prove the existence of the classical solution to the HJB equation. |
| title | Optimal Contract Design with Quadratic Effort Cost |
| topic | Mathematical Finance |
| url | https://arxiv.org/abs/2503.08503 |