Dynamic programming approach to the robust principal-agent problem

• 主要作者: Sheng, Shunan
• 其他作者: PUN Chi Seng
• 格式: Student Research Paper
• 語言: English
• 出版: Nanyang Technological University 2021
• 主題: Business::Management::Management games; Science::Mathematics::Applied mathematics::Optimization
• 在線閱讀: https://hdl.handle.net/10356/151274
• 機構: 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...