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dc.contributor.authorMastrolia, Thibaut
dc.contributor.authorRen, Zhenjie
dc.date.accessioned2018-09-07T08:29:15Z
dc.date.available2018-09-07T08:29:15Z
dc.date.issued2018
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17975
dc.language.isoenen
dc.subjectsystem of HJB equa- tionsen
dc.subjectBSDEsen
dc.subjectMoral hazard modelsen
dc.subjectcommon agencyen
dc.subjectsystem of HJB equationsen
dc.subject.ddc519en
dc.subject.classificationjelD.D2.D21en
dc.subject.classificationjelD.D8.D82en
dc.subject.classificationjelD.D8.D86en
dc.subject.classificationjelJ.J4.J41en
dc.subject.classificationjelC.C7.C73en
dc.titlePrincipal-Agent Problem with Common Agency without Communicationen
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. We provide conditions ensuring that for risk-neutral Principals, the system of coupled HJB equations admits a solution. Further, we apply our study in a more specific linear-quadratic model where two interacting Principals hire one common Agent. 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, by showing that these two optimisations coincide only in the first best case. We also study the sensibility of the optimal effort and the optimal remunerations with respect to appetence parameters and the correlation between the projects.en
dc.identifier.citationpages32en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01534611en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.identifier.citationdate2018-01
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2018-09-07T08:23:52Z
hal.person.labIds89626
hal.person.labIds60


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