5 papers
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…
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…
Golden parachutes under the threat of accidents
Dylan Possamaï, Chiara Rossato
This paper addresses a continuous-time contracting model that extends the problem introduced by Sannikov and later rigorously analysed by Possamaï and Touzi. In our model, a princi…
Randomisation with moral hazard: a path to existence of optimal contracts
Daniel Kršek, Dylan Possamaï
We study a generic principal-agent problem in continuous time on a finite time horizon. We introduce a framework in which the agent is allowed to employ measure-valued controls and…
On the population size in stochastic differential games
Dylan Possamaï, Ludovic Tangpi
Commuters looking for the shortest path to their destinations, the security of networked computers, hedge funds trading on the same stocks, governments and populations acting to mi…