Sequential optimal contracting in continuous time

Guillermo Alonso Alvarez, Erhan Bayraktar, Ibrahim Ekren and Liwei Huang

Papers from arXiv.org

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.

Date: 2024-11
New Economics Papers: this item is included in nep-cta, nep-des, nep-gth, nep-mic and nep-upt
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