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Book Cover
Author Cvitanić, Jakša.

Title Contract theory in continuous-time models / Jakša Cvitanić, Jianfeng Zhang
Published Berlin ; New York : Springer, ©2013


Description 1 online resource (xii, 255 pages)
Series Springer finance, 1616-0533
Springer finance.
Contents Part 1. Introduction -- Principal-Agent Problem -- Single-Period Examples -- Part 2. First Best: Risk Sharing Under Full Information -- Linear Models with Project Selection, and Preview of Results -- The General Risk Sharing Problem -- Part 3. Second Best: Contracting Under Hidden Action -- the Case of Moral Hazard -- Mathematical Theory for General Moral Hazard Problems -- Special Cases and Applications -- An Application to Capital Structure Problems: Optimal Financing of a Company -- Part 4. Third Best: Contracting Under Hidden Action and Hidden Type--The Case of Moral Hazard and Adverse Selection -- Adverse Selection -- Part 5. Backward SDE's and Forward-Backward SDE's -- Backward SDEs -- Stochastic Maximum Principle -- Forward-Backward SDEs
Summary In recent years there has been a significant increase of interest in continuous-time Principal-Agent models, or contract theory, and their applications. Continuous-time models provide a powerful and elegant framework for solving stochastic optimization problems of finding the optimal contracts between two parties, under various assumptions on the information they have access to, and the effect they have on the underlying "profit/loss" values. This monograph surveys recent results of the theory in a systematic way, using the approach of the so-called Stochastic Maximum Principle, in models driven by Brownian Motion. Optimal contracts are characterized via a system of Forward-Backward Stochastic Differential Equations. In a number of interesting special cases these can be solved explicitly, enabling derivation of many qualitative economic conclusions
Analysis Mathematics
Systems theory
Quantitative Finance
Game Theory, Economics, Social and Behav. Sciences
Systems Theory, Control
Bibliography Includes bibliographical references and index
Notes English
Print version record
In Springer eBooks
Subject Mathematical statistics.
Business mathematics.
MATHEMATICS -- Probability & Statistics -- General.
Business mathematics.
Mathematical statistics.
Stochastische Kontrolltheorie
Genre/Form Electronic books
Form Electronic book
Author Zhang, Jianfeng (Mathematician)
ISBN 9783642142000