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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.issued2019
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.typeDocument de travail / Working paper
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.identifier.citationpages18
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphine
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-02088486
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenon
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dc.description.readershiprecherche
dc.description.audienceInternational
dc.date.updated2019-09-19T17:05:27Z
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