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 ...
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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.
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Add this copy of Contract Theory in Continuous-Time Models (Springer to cart. $73.86, good condition, Sold by HPB-Red rated 5.0 out of 5 stars, ships from Dallas, TX, UNITED STATES, published 2012 by Springer.
Edition:
2012, Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Publisher:
Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Published:
2012
Language:
English
Alibris ID:
18071206125
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Add this copy of Contract Theory in Continuous Time Models (Hb 2013) to cart. $110.94, new condition, Sold by Books International rated 3.0 out of 5 stars, ships from Toronto, ON, CANADA, published 2012 by Springer-Verlag Berlin and Heidelberg GmbH & Co. K.
Edition:
2012, Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Add this copy of Contract Theory in Continuous-Time Models to cart. $129.16, like new condition, Sold by GreatBookPrices rated 4.0 out of 5 stars, ships from Columbia, MD, UNITED STATES, published 2012 by Springer-Verlag Berlin and Heidelberg GmbH & Co. K.
Edition:
2012, Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Publisher:
Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Published:
2012
Language:
English
Alibris ID:
17957377740
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