T. Mastrolia (CMAP, école Polytechnique)

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T. Mastrolia (CMAP, école Polytechnique)

19 mai 2017 @ 15 h 00 min - 16 h 00 min

Common agency dilemma with information asymmetry in continuous time

 

In this paper, we consider a problem of contract theory with several Principals hiring a common Agent in the continuous time setting. We more particularly show that optimal contracts satisfy some equilibrium conditions and we reduced the problem of the Principals to a system of fully coupled HJB equations. We illustrate our study in a linear-quadratic model by considering two interacting Principals proposing to hire a common Agent with appetence parameters. We also give conditions ensuring that the optimal effort of the Agent in a non-cooperative Principals model coincides with the optimal effort of the Agent in the aggregate model.

Joint work with Zhenjie Ren.

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Détails

Date :
19 mai 2017
Heure :
15 h 00 min - 16 h 00 min