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dc.contributor.authorMastrolia, Thibaut
dc.contributor.authorRen, Zhenjie
dc.date.accessioned2017-12-07T10:20:16Z
dc.date.available2017-12-07T10:20:16Z
dc.date.issued2017
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17191
dc.language.isoenen
dc.subjectMoral hazard models
dc.subjectcommon agency
dc.subjectsystem of HJB equations
dc.subjectBSDEs
dc.subject.ddc519en
dc.titleCommon agency dilemma with information asymmetry in continuous time
dc.typeDocument de travail / Working paper
dc.description.abstractenIn this paper, we consider a problem of contract theory in which several Principals hire a common Agent and we study the model in the continuous time setting. We show that optimal contracts should satisfy some equilibrium conditions and we reduce the optimisation problem of the Principals to a system of coupled Hamilton-Jacobi-Bellman (HJB) equations. Further, in a more specific linear-quadratic model where two interacting Principals hire one common Agent, we are able to calculate the optimal effort by the Agent for both Principals. In this continuous time model, we extend the result of Bernheim and Whinston (1986) in which the authors compare the optimal effort of the Agent in a non-cooperative Principals model and that in the aggregate model, and give the condition under which these two optimisations coincide.
dc.identifier.citationpages28
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphine
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01534611
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenon
dc.description.halcandidatenon
dc.description.readershiprecherche
dc.description.audienceInternational
dc.date.updated2017-12-15T18:09:30Z
hal.person.labIds89626
hal.person.labIds60


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