Moral Hazard under Ambiguity
Mastrolia, Thibaut; Possamaï, Dylan (2018), Moral Hazard under Ambiguity, Journal of Optimization Theory and Applications, 179, 2, p. 452-500. 10.1007/s10957-018-1230-8
TypeArticle accepté pour publication ou publié
External document linkhttps://hal.archives-ouvertes.fr/hal-01220331
Journal nameJournal of Optimization Theory and Applications
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Abstract (EN)In this paper, we extend the Holmström and Milgrom problem  by adding uncertainty about the volatility of the output for both the agent and the principal. We study more precisely the impact of the Nature" playing against the Agent and the Principal by choosing the worst possible volatility of the output. We solve the first-best and the second-best problems associated with this framework and we show that optimal contracts are in a class of contracts similar to [9, 10], linear with respect to the output and its quadratic variation. We compare our results with the classical problem in ."
Subjects / KeywordsRisk-sharing; moral hazard; principal-agent; second-order BSDEs; volatility uncertainty
JELM52 - Compensation and Compensation Methods and Their Effects
J33 - Compensation Packages; Payment Methods
D82 - Asymmetric and Private Information; Mechanism Design
C73 - Stochastic and Dynamic Games; Evolutionary Games; Repeated Games
C61 - Optimization Techniques; Programming Models; Dynamic Analysis
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