Principal-agent problem with multiple principals

Kaitong Hu (), Zhenjie Ren () and Junjian Yang
Additional contact information
Kaitong Hu: CMAP - Centre de Mathématiques Appliquées de l'Ecole polytechnique - Inria - Institut National de Recherche en Informatique et en Automatique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique
Zhenjie Ren: CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Junjian Yang: TU Wien - Fakultät für Mathematik und Geoinformation [Wien] - TU Wien - Vienna University of Technology = Technische Universität Wien

Working Papers from HAL

Abstract: We consider a moral hazard problem with multiple principals in a continuous-time model. The agent can only work exclusively for one principal at a given time, so faces an optimal switching problem. Using a randomized formulation, we manage to represent the agent's value function and his optimal effort by an Itô process. This representation further helps to solve the principals' problem in case we have infinite number of principals in the sense of mean field game. Finally the mean field formulation is justified by an argument of propagation of chaos.

Keywords: Moral hazard; contract theory; backward SDE; optimal switching; mean field games; propagation of chaos (search for similar items in EconPapers)
Date: 2019-04-02
New Economics Papers: this item is included in nep-cta, nep-hrm, nep-mic and nep-ore
Note: View the original document on HAL open archive server: https://hal.science/hal-02088486v1
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://hal.science/hal-02088486v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-02088486

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().