|Date: Wednesday, February 10, 2016
Location: 1360 East Hall (4:00 PM to 5:00 PM)
Title: Dynamic Programming Approach to Principal-Agent Problems
Abstract: Abstract: We consider a general formulation of the Principal-Agent problem from Contract Theory, on a finite horizon. We show how to reduce the problem to a stochastic control problem which may be analyzed by the standard tools of control theory. In particular, Agent's value function appears naturally as a controlled state variable for the Principal's problem. Our argument relies on the Backward Stochastic Differential Equations approach to non-Markovian stochastic control, and more specifically, on the most recent extensions to the second order case.
This is a joint work with Jaksa Cvitanic and Nizar Touzi.
Speaker: Dylan Possamai
Institution: Paris Dauphine
Event Organizer: Erhan Bayraktar email@example.com