Contract Theory in Continuous-Time Models

Nonfiction, Science & Nature, Mathematics, Game Theory, Applied, Business & Finance
Cover of the book Contract Theory in Continuous-Time Models by Jakša Cvitanic, Jianfeng Zhang, Springer Berlin Heidelberg
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Author: Jakša Cvitanic, Jianfeng Zhang ISBN: 9783642142000
Publisher: Springer Berlin Heidelberg Publication: September 24, 2012
Imprint: Springer Language: English
Author: Jakša Cvitanic, Jianfeng Zhang
ISBN: 9783642142000
Publisher: Springer Berlin Heidelberg
Publication: September 24, 2012
Imprint: Springer
Language: English

In recent years there has been a significant increase of interest in continuous-time Principal-Agent models, or contract theory, and their applications. Continuous-time models provide a powerful and elegant framework for solving stochastic optimization problems of finding the optimal contracts between two parties, under various assumptions on the information they have access to, and the effect they have on the underlying "profit/loss" values. This monograph surveys recent results of the theory in a systematic way, using the approach of the so-called Stochastic Maximum Principle, in models driven by Brownian Motion.

Optimal contracts are characterized via a system of Forward-Backward Stochastic Differential Equations. In a number of interesting special cases these can be solved explicitly, enabling derivation of many qualitative economic conclusions.

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In recent years there has been a significant increase of interest in continuous-time Principal-Agent models, or contract theory, and their applications. Continuous-time models provide a powerful and elegant framework for solving stochastic optimization problems of finding the optimal contracts between two parties, under various assumptions on the information they have access to, and the effect they have on the underlying "profit/loss" values. This monograph surveys recent results of the theory in a systematic way, using the approach of the so-called Stochastic Maximum Principle, in models driven by Brownian Motion.

Optimal contracts are characterized via a system of Forward-Backward Stochastic Differential Equations. In a number of interesting special cases these can be solved explicitly, enabling derivation of many qualitative economic conclusions.

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