Continuous-Time Principal-Agent Problems under Partial Information: A

Mainini, Alessandra

ISBN 10: 3639371747 / ISBN 13: 9783639371741

Edité par VDM Verlag Dr. Müller, 2011

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Synopsis :

Moral hazard is a key issue in principal-agent literature. Examples lie in several aspects of real life, such as the worker's lack of effort when his/her conduct cannot be directly observed by the employer, and the principal's consequent need to motivate the agent to work as much as possible in his/her best interests. Another example is the relationship between voters and politicians, where elections serve as a disciplining mechanism to prevent rent-seeking behavior by unobserved public administrators. In this work we analyze such problems in a continuous-time setting with a model specification that draws from the classical consumption/investment à la Merton. Agents differ in competence, which is incompletely (but symmetrically) known by all players and learned over time by observing agent's performance. From a mathematical point of view, the analysis uses classical filtering techniques to re-formulate the problem within a complete information setting; then, relying on the dynamic programming principle and by using a guess-and-verify approach, explicit (at least to some extent) solutions are provided.

À propos de l?auteur: Alessandra Mainini, Ph.D in Economics, is research fellow at Università Cattolica del Sacro Cuore (Milano, Italy). Her research interests are in the fields of applied stochastic control and filtering.

Détails bibliographiques

Titre : Continuous-Time Principal-Agent Problems ...
Éditeur : VDM Verlag Dr. Müller
Date d'édition : 2011
Reliure : Couverture souple
Etat : Very Good