Titlebook: Contract Theory in Continuous-Time Models; Jakša Cvitanić,Jianfeng Zhang Book 2013 Springer-Verlag Berlin Heidelberg 2013 91G80, 93E20.for

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Single-Period Exampless in single-period models become more tractable if exponential utility functions are assumed. However, even then, there are cases in which tractability requires considering only linear contracts. Optimal contracts which cannot contract upon the agent’s actions are more sensitive to the output than t

CRACY

Linear Models with Project Selection, and Preview of Resultsirst best outcome may be attainable by relatively simple contracts. These may be offered either as those in which the principal “sells” the whole output to the agent for a random “benchmark” amount, and/or as a possibly nonlinear function of the final value of the output. It is not necessary that th

fodlder

Defiance

Mathematical Theory for General Moral Hazard Problemstochastic maximum principle. The main modeling difference with respect to the full information case is that we will now assume that the agent controls the distribution of the output process with his effort. Mathematically, this is modeled using the so-called “weak formulation” and “weak solutions” o

ALE

Special Cases and Applicationsa 55:303–328,1987) is the first to use a continuous-time model, showing that doing that can, in fact, lead to simple, while realistic optimal contracts. In particular, if the principal and the agent maximize expected utility from terminal output value, and have non-separable cost of effort and expon

ALE

An Application to Capital Structure Problems: Optimal Financing of a Companyl hazard. In the model the agent can misreport the firm earnings and transfer money to his own savings account, but there is an optimal contract under which the agent will report truthfully, and will not save, but consume everything he is paid. The model leads to a relatively simple and realistic fi

消瘦

Adverse Selectionility for the agent. When the cost is quadratic, the optimal contract is typically a nonlinear function of the final output value and it may also depend on the underlying source of risk. With risk-neutral agent and principal, a range of lower type agents gets non-incentive cash contracts. As the cos

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Backward SDEslly to BSDEs, and then, we provide the basic theory. We present the important Comparison Theorem for BSDEs. Existence and uniqueness are first shown under Lipschitz and square-integrability conditions. Then, the case of quadratic growth is studied, often encountered in applications. In Markovian mod

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