30 novembre 2015 à 2 décembre 2015
Angers - France
Fuseau horaire Europe/Paris

Moral hazard and second order backward SDEs

30 nov. 2015, 11:50
40m
Angers - France

Angers - France

Orateur

Prof. Nizar Touzi (Ecole Polythecnique)

Description

We consider a general formulation of the Principal-Agent problem with a lump-sum payment on a finite horizon. Our main result is a reduction of this problem to a standard stochastic control problem, so that the principal's problem is solved by the standard tools of control theory. Our proofs rely on the Backward Stochastic Differential Equations approach to non-Markovian stochastic control, and more specifically, on the recent extensions to the second order case.

Auteur principal

Prof. Nizar Touzi (Ecole Polythecnique)

Documents de présentation

Aucun document.