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.
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.
Production planning problems containing special characteristics from process industries are addressed in this book. The main subject is the development of mathematical programming models that allow...
This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it.This work is in the "public domain in the United States of...
The book is mainly about hybrid systems with continuous/discrete-time dynamics. The major part of the book consists of the theory of equations with piece-wise constant argument of generalized type...
This book contains contributions from the participants of the research group hosted by the ZiF - Center for Interdisciplinary Research at the University of Bielefeld during the period 2013-2017 as...
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