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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2025
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2503.08503 |
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Table of 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.