Dynamic programming approach to the robust principal-agent problem

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...

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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
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Institution:	Nanyang Technological University
Language:	English

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spelling	sg-ntu-dr.10356-1512742021-06-27T20:10:55Z Dynamic programming approach to the robust principal-agent problem Sheng, Shunan PUN Chi Seng School of Physical and Mathematical Sciences cspun@ntu.edu.sg Business::Management::Management games Science::Mathematics::Applied mathematics::Optimization 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 by the latest works, we exploited the dynamic programming approach to solve the stochastic control problem. In addition, we investigated the robust formulation by introducing uncertainty to the drift function, resulting in an inaccurate observation about the output process. 2021-06-22T07:17:01Z 2021-06-22T07:17:01Z 2020 Student Research Paper Sheng, S. (2020). Dynamic programming approach to the robust principal-agent problem. Student Research Paper, Nanyang Technological University, Singapore. https://hdl.handle.net/10356/151274 https://hdl.handle.net/10356/151274 en © 2020 The Author(s). application/pdf Nanyang Technological University
institution	Nanyang Technological University
building	NTU Library
continent	Asia
country	Singapore Singapore
content_provider	NTU Library
collection	DR-NTU
language	English
topic	Business::Management::Management games Science::Mathematics::Applied mathematics::Optimization
spellingShingle	Business::Management::Management games Science::Mathematics::Applied mathematics::Optimization Sheng, Shunan Dynamic programming approach to the robust principal-agent problem
description	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 by the latest works, we exploited the dynamic programming approach to solve the stochastic control problem. In addition, we investigated the robust formulation by introducing uncertainty to the drift function, resulting in an inaccurate observation about the output process.
author2	PUN Chi Seng
author_facet	PUN Chi Seng Sheng, Shunan
format	Student Research Paper
author	Sheng, Shunan
author_sort	Sheng, Shunan
title	Dynamic programming approach to the robust principal-agent problem
title_short	Dynamic programming approach to the robust principal-agent problem
title_full	Dynamic programming approach to the robust principal-agent problem
title_fullStr	Dynamic programming approach to the robust principal-agent problem
title_full_unstemmed	Dynamic programming approach to the robust principal-agent problem
title_sort	dynamic programming approach to the robust principal-agent problem
publisher	Nanyang Technological University
publishDate	2021
url	https://hdl.handle.net/10356/151274
_version_	1703971244585517056

Dynamic programming approach to the robust principal-agent problem

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