5 papers
Stackelberg Games with a Robust Leader
Juan Li, Jianfeng Zhang, Zimu Zhu
In this paper we study a Stackelberg game with one leader and multiple followers. Given the leader's control, the followers solve a Nash game with possibly multiple equilibria. We…
A General Model for Continuous Time Principal-Agent Problem Under Hidden Action
Jaeyoung Sung, Jianfeng Zhang, Zimu Zhu
In this paper, we study a general continuous-time Principal-Agent (PA) problem, where the agent privately makes effort and consumption decisions over time under a contract with pay…
DeepPAAC: A New Deep Galerkin Method for Principal-Agent Problems
Michael Ludkovski, Changgen Xie, Zimu Zhu
We consider numerical resolution of principal-agent (PA) problems in continuous time. We formulate a generic PA model with continuous and lump payments and a multi-dimensional stra…
Optimal Consumption-Investment with Epstein-Zin Utility under Leverage Constraint
Dejian Tian, Weidong Tian, Jianjun Zhou +1
We study optimal portfolio choice under Epstein-Zin recursive utility in the presence of general leverage constraints. We first establish that the optimal value function is the uni…
Optimal Comfortable Consumption under Epstein-Zin utility
Dejian Tian, Weidong Tian, Jianjun Zhou +1
We solve the optimal portfolio choice problem under Epstein--Zin utility with a time-varying consumption constraint, where closed-form expressions for neither the primal nor the du…