Dynamic programming approach to the robust principal-agent problem

• المؤلف الرئيسي: Sheng, Shunan
• مؤلفون آخرون: PUN Chi Seng
• التنسيق: Student Research Paper
• اللغة: English
• منشور في: Nanyang Technological University 2021
• الموضوعات: Business::Management::Management games; Science::Mathematics::Applied mathematics::Optimization
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/151274

Principal-agent models are studied to incorporate the moral hazard where the agent has unobservable behavior. This paper considers a special formulation of the principal-agent problem with finite time lump-sum payment, which can be interpreted as the two-player stochastic differential game. Inspired...