• xmlui.mirage2.page-structure.header.title
    • français
    • English
  • Help
  • Login
  • Language 
    • Français
    • English
View Item 
  •   BIRD Home
  • CEREMADE (UMR CNRS 7534)
  • CEREMADE : Publications
  • View Item
  •   BIRD Home
  • CEREMADE (UMR CNRS 7534)
  • CEREMADE : Publications
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Browse

BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesTypeThis CollectionBy Issue DateAuthorsTitlesType

My Account

LoginRegister

Statistics

Most Popular ItemsStatistics by CountryMost Popular Authors
Thumbnail

Principal-Agent Problem with Common Agency without Communication

Mastrolia, Thibaut; Ren, Zhenjie (2018), Principal-Agent Problem with Common Agency without Communication, SIAM Journal on Financial Mathematics, 9, 2, p. 32. 10.1137/17M1133609

View/Open
multiPrincipalRevision.pdf (382.8Kb)
Type
Article accepté pour publication ou publié
Date
2018
Journal name
SIAM Journal on Financial Mathematics
Volume
9
Number
2
Publisher
SIAM - Society for Industrial and Applied Mathematics
Pages
32
Publication identifier
10.1137/17M1133609
Metadata
Show full item record
Author(s)
Mastrolia, Thibaut
Centre de Mathématiques Appliquées - Ecole Polytechnique [CMAP]
Ren, Zhenjie cc
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Abstract (EN)
In this paper, we consider a problem of contract theory in which several Principals hire a common Agent and we study the model in the continuous time setting. We show that optimal contracts should satisfy some equilibrium conditions and we reduce the optimisation problem of the Principals to a system of coupled Hamilton-Jacobi-Bellman (HJB) equations. We provide conditions ensuring that for risk-neutral Principals, the system of coupled HJB equations admits a solution. Further, we apply our study in a more specific linear-quadratic model where two interacting Principals hire one common Agent. In this continuous time model, we extend the result of Bernheim and Whinston (1986) in which the authors compare the optimal effort of the Agent in a non-cooperative Principals model and that in the aggregate model, by showing that these two optimisations coincide only in the first best case. We also study the sensibility of the optimal effort and the optimal remunerations with respect to appetence parameters and the correlation between the projects.
Subjects / Keywords
system of HJB equa- tions; BSDEs; Moral hazard models; common agency; system of HJB equations
JEL
D21 - Firm Behavior: Theory
D82 - Asymmetric and Private Information; Mechanism Design
D86 - Economics of Contract: Theory
J41 - Labor Contracts
C73 - Stochastic and Dynamic Games; Evolutionary Games; Repeated Games

Related items

Showing items related by title and author.

  • Thumbnail
    Common agency dilemma with information asymmetry in continuous time 
    Mastrolia, Thibaut; Ren, Zhenjie (2017) Document de travail / Working paper
  • Thumbnail
    Principal-agent problem with multiple principals 
    Hu, Kaitong; Ren, Zhenjie; Yang, Junjian (2022) Article accepté pour publication ou publié
  • Thumbnail
    Random Horizon Principal-Agent Problems 
    Lin, Yiqing; Ren, Zhenjie; Touzi, Nizar; Yang, Junjian (2022) Article accepté pour publication ou publié
  • Thumbnail
    Existence of solutions to principal–agent problems with adverse selection under minimal assumptions 
    Carlier, Guillaume; Zhang, Kelvin Shuangjian (2020) Article accepté pour publication ou publié
  • Thumbnail
    A tale of a Principal and many many Agents 
    Elie, Romuald; Mastrolia, Thibaut; Possamaï, Dylan (2018) Article accepté pour publication ou publié
Dauphine PSL Bibliothèque logo
Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16
Phone: 01 44 05 40 94
Contact
Dauphine PSL logoEQUIS logoCreative Commons logo