4 papers · 1 filter
A continuous-time dynamic contracting problem with limited liability and finite horizon
Andrea Bovo, Tiziano De Angelis, Stéphane Villeneuve
We perform a detailed study of a principal--agent problem in a continuous time version of the celebrated Holmström--Milgrom model (Econometrica 55 (2), 1987) where we add limited l…
A class of singular control problems with tipping points
Jean-Paul Décamps, Fabien Gensbittel, Thomas Mariotti +1
Tipping points characterize situations where a regulated system may experience a sudden and irreversible change and are generally associated with a random state of the system below…
Nash equilibria for dividend distribution with competition
Tiziano De Angelis, Fabien Gensbittel, Stéphane Villeneuve
We construct Nash equilibria in feedback form for a class of two-person stochastic games of singular control with absorption, arising from a stylized model for corporate finance. M…
A Stochastic Non-Zero-Sum Game of Controlling the Debt-to-GDP Ratio
Felix Dammann, Neofytos Rodosthenous, Stéphane Villeneuve
We introduce a non-zero-sum game between a government and a legislative body to study the optimal level of debt. Each player, with different time preferences, can intervene on the…