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math.OC2015★ 4 cited
The Principal-Agent Problem With Time Inconsistent Utility Functions
Boualem Djehiche, Peter Helgesson
In this paper we study a generalization of the continuous time Principal-Agent problem allowing for time inconsistent utility functions, for instance of mean-variance type. Using r…
math.OC2014★ 4 cited
The Principal-Agent Problem; A Stochastic Maximum Principle Approach
Boualem Djehiche, Peter Helgesson
We study a general class of Principal-Agent problems in continuous time under hidden action. By formulating the model as a coupled stochastic optimal control problem we are able to…