2 papers
math.OC2026
Backward SDE characterization of the finite horizon Principal-Agent problem
Nizar Touzi, Yuxing Huang
We consider the finite horizon continuous-time Principal--Agent problem under deterministic discount factors. Following the Sannikov reduction to a stochastic control problem, we p…
math.PR2024
Path-dependent processes from signatures
Eduardo Abi Jaber, Louis-Amand Gérard, Yuxing Huang
We provide explicit series expansions to certain stochastic path-dependent integral equations in terms of the path signature of the time augmented driving Brownian motion. Our fram…