Seminar Event Detail

Financial/Actuarial Mathematics

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.

Files: 3693_Possamai.pdf

Speaker:  Dylan Possamai
Institution:  Paris Dauphine

Event Organizer:   Erhan Bayraktar


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