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Principal-agent problem with multiple principals

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PA-MF-Switching_2019-03-30.pdf (352.0Kb)
Date
2019
Publisher city
Paris
Collection title
Cahier de recherche CEREMADE, Université Paris-Dauphine
Link to item file
https://hal.archives-ouvertes.fr/hal-02088486
Dewey
Probabilités et mathématiques appliquées
Sujet
Moral hazard; contract theory; backward SDE; optimal switching; mean field games; propagation of chaos
URI
https://basepub.dauphine.fr/handle/123456789/19491
Collections
  • CEREMADE : Publications
Metadata
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Author
Hu, Kaitong
89626 Centre de Mathématiques Appliquées - Ecole Polytechnique [CMAP]
Ren, Zhenjie
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Yang, Junjian
441966 Fakultät für Mathematik und Geoinformation [Wien]
Type
Document de travail / Working paper
Item number of pages
18
Abstract (EN)
We consider a moral hazard problem with multiple principals in a continuous-time model. The agent can only work exclusively for one principal at a given time, so faces an optimal switching problem. Using a randomized formulation, we manage to represent the agent's value function and his optimal effort by an Itô process. This representation further helps to solve the principals' problem in case we have infinite number of principals in the sense of mean field game. Finally the mean field formulation is justified by an argument of propagation of chaos.

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