Contract theory in continuous-time models

Contract theory in continuous-time models

by Cvitanić, Jaksa

Type Book
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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 …

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Title Statements

  • Full title :Contract theory in continuous-time models / Jakša Cvitanić, Jianfeng Zhang.

Summary

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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Edition Statements

  • Publication Date:2013.

Publication Statements

  • Publisher(s):Springer
  • Place of Publication:Berlin
  • Language:eng
  • Publication Date:2013.

The Physical Object

  • Description:1 online resource (XII, 255 p.)

Edition Identifiers

  • ISBN:9783642142000, 3642142001, 9783642141997, 3642141994
  • oclc:ocn824488144
  • LC Classification:HG106

Subjects

Applied physical engineering Brownian motion processes Engineering sciences. Technology finance Finance -- mathematical models Finances -- Modèles mathématiques Financial analysis financieel management financiële analyse ingenieurswetenschappen mathematics Operational research. Game theory Processus de mouvement brownien Processus stochastiques Quantitative methods (economics) speltheorie Stochastic Processes systeembeheer Systeemtheorie wiskunde

Writers

Cvitanić, Jaksa Zhang, Jianfeng

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