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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| Format: | Student Research Paper |
| Language: | English |
| Published: |
Nanyang Technological University
2021
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| Online Access: | https://hdl.handle.net/10356/151274 |
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| Institution: | Nanyang Technological University |
| Language: | English |