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math.OC2024
A new approach to principal-agent problems with volatility control
Alessandro Chiusolo, Emma Hubert
The recent work by Cvitanić, Possamaï, and Touzi (2018) [9] presents a general approach for continuous-time principal-agent problems, through dynamic programming and second-order b…
math.OC2024
Closed-loop equilibria for Stackelberg games: a story about stochastic targets
Camilo Hernández, Nicolás Hernández Santibáñez, Emma Hubert +1
We provide a general approach to reformulating any continuous-time stochastic Stackelberg differential game under closed-loop strategies as a single-level optimisation problem with…