Shu Lu (Associate Professor, Department of Statistics and Operations Research, U. of North Carolina at Chapel Hill)
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 Read more [...]
