Dynamic programming approach to the robust principal-agent problem

• Main Author: Sheng, Shunan
• Other Authors: PUN Chi Seng
• Format: Student Research Paper
• Language: English
• Published: Nanyang Technological University 2021
• Subjects: Business::Management::Management games; Science::Mathematics::Applied mathematics::Optimization
• Online Access: https://hdl.handle.net/10356/151274
• Institution: Nanyang Technological University

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...