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Principal-agent problem with multiple principals

hal.structure.identifierCentre de Mathématiques Appliquées - Ecole Polytechnique [CMAP]
dc.contributor.authorHu, Kaitong
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorRen, Zhenjie
hal.structure.identifierFakultät für Mathematik und Geoinformation [Wien] [TU Wien]
dc.contributor.authorYang, Junjian
dc.date.accessioned2019-07-26T09:19:37Z
dc.date.available2019-07-26T09:19:37Z
dc.date.issued2022
dc.identifier.issn1744-2508
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/19491
dc.language.isoenen
dc.subjectMoral hazard
dc.subjectcontract theory
dc.subjectbackward SDE
dc.subjectoptimal switching
dc.subjectmean field games
dc.subjectpropagation of chaos
dc.subject.ddc519en
dc.titlePrincipal-agent problem with multiple principals
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe consider a moral hazard problem with multiple principals in a continuous-time model. The agent can only work exclusively for one principal at a given time, so faces an optimal switching problem. Using a randomized formulation, we manage to represent the agent's value function and his optimal effort by an Itô process. This representation further helps to solve the principals' problem in case we have infinite number of principals in the sense of mean field game. Finally the mean field formulation is justified by an argument of propagation of chaos.
dc.publisher.cityParisen
dc.relation.isversionofjnlnameStochastics: An International Journal of Probability and Stochastic Processes
dc.relation.isversionofjnldate2022
dc.relation.isversionofjnlpages18
dc.relation.isversionofdoi10.1080/17442508.2022.2125808
dc.relation.isversionofjnlpublisherTaylor & Francis
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenon
dc.description.halcandidatenon
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2023-02-04T11:29:42Z
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