42 citations · 163 across the 29 of their papers we have counts for
Showing 2015 · math.OCShow all
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math.OC2015
Moral hazard under ambiguity
Thibaut Mastrolia, Dylan Possamaï
In this paper, we extend the Holmstroöm and Milgrom problem [47] by adding uncertainty about the volatility of the output for both the Agent and the Principal. We study more precis…
math.OC2015
Dynamic programming approach to principal-agent problems
Jakša Cvitanić, Dylan Possamaï, Nizar Touzi
We consider a general formulation of the Principal-Agent problem with a lump-sum payment on a finite horizon, providing a systematic method for solving such problems. Our approach…