1. Sequential optimal contracting in continuous time
- Author
-
Alvarez, Guillermo Alonso, Bayraktar, Erhan, Ekren, Ibrahim, and Huang, Liwei
- Subjects
Mathematics - Optimization and Control ,Economics - Theoretical Economics ,Mathematics - Probability - Abstract
In this paper we study a principal-agent problem in continuous time with multiple lump-sum payments (contracts) paid at different deterministic times. We reduce the non-zero sum Stackelberg game between the principal and agent to a standard stochastic optimal control problem. We apply our result to a benchmark model for which we investigate how different inputs (payment frequencies, payments' distribution, discounting factors, agent's reservation utility) affect the principal's value and agent's optimal compensations.
- Published
- 2024