2 papers
math.OC2026
Forcing and duality-corrected contracts for volatility control
Alessandro Chiusolo, Emma Hubert, Dylan Possamaï +1
In this paper, we revisit the construction of optimal incentives in continuous-time principal-agent problems with drift and volatility control. Originally, a general approach relyi…
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…