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SUMMARY:Forcing and duality-corrected contracts for volatility control
DTSTART:20260924T090000Z
DTEND:20260924T101500Z
DTSTAMP:20260929T104000Z
UID:indico-event-17378@indico.math.cnrs.fr
DESCRIPTION:Speakers: Emma Hubert (Université Paris Dauphine)\n\nAbstract
 : In this paper\, we revisit the construction of optimal incentives in con
 tinuous-time principal–agent problems with drift and volatility control.
  Originally\, a general approach relying on dynamic programming and second
 -order backward stochastic differential equations (2BSDEs) was developed b
 y Cvitanić\, Possamaï\, and Touzi (2018) [8] to determine the optimal fo
 rm of contracts in this setting. More recently\, Chiusolo and Hubert (2026
 ) [5] proposed a BSDE-based approach by introducing an alternative ‘cont
 ractible-volatility’ problem for the principal. In addition to the propo
 sed new method\, this work highlights that the optimality result of [8] ac
 tually hinges on an assumption—stated below as Assumption 2.3—which ma
 y not hold in general. Motivated by this\, we introduce in this paper a mo
 re general class of contracts\, parametrised by a function ψ subject to c
 onditions that make the contract revealing for the agent and without loss 
 of generality for the principal. We further provide two natural specificat
 ions of ψ: one\, inspired by the BSDE approach\, yielding a forcing-type 
 contract\; the other\, motivated by the 2BSDE approach\, correcting the du
 ality gap when Assumption 2.3 is not satisfied. Paper\n\nhttps://indico.ma
 th.cnrs.fr/event/17378/
LOCATION:Auditorium 3 - JJ Laffont (Toulouse School of Economics)
URL:https://indico.math.cnrs.fr/event/17378/
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