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dc.contributor.authorMastrolia, Thibaut
dc.contributor.authorPossamaï, Dylan
dc.date.accessioned2018-01-08T13:39:26Z
dc.date.available2018-01-08T13:39:26Z
dc.date.issued2018
dc.identifier.issn0022-3239
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17250
dc.language.isoenen
dc.subjectRisk-sharing
dc.subjectmoral hazard
dc.subjectprincipal-agent
dc.subjectsecond-order BSDEs
dc.subjectvolatility uncertainty
dc.subject.ddc519en
dc.subject.classificationjelM.M5.M52en
dc.subject.classificationjelJ.J3.J33en
dc.subject.classificationjelD.D8.D82en
dc.subject.classificationjelC.C7.C73en
dc.subject.classificationjelC.C.C61en
dc.titleMoral Hazard under Ambiguity
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIn this paper, we extend the Holmström and Milgrom problem [30] 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 [30]."
dc.relation.isversionofjnlnameJournal of Optimization Theory and Applications
dc.relation.isversionofjnlvol179
dc.relation.isversionofjnlissue2
dc.relation.isversionofjnldate2018
dc.relation.isversionofjnlpages452-500
dc.relation.isversionofdoi10.1007/s10957-018-1230-8
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01220331
dc.relation.isversionofjnlpublisherSpringer
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenon
dc.description.halcandidatenon
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2018-11-16T15:14:56Z


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