backward stochastic differential equations 1continuous-time contracts 1dualities 1principal-agent problem 1volatility control 1
From the 1 of 3 linked papers with an AI index.
3 papers
math.OC2026
Forcing and duality-corrected contracts for volatility control
Alessandro Chiusolo, Emma Hubert, Dylan Possamaï +1
The paper studies how to design optimal contracts in continuous‑time principal‑agent models where the agent can control both drift and volatility, introducing a broader class of co…
math.OC2026
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…
math.OC2025
A new approach to principal-agent problems with volatility control
Alessandro Chiusolo, Emma Hubert
The recent work by CvitaniÄ, Possamaï, and Touzi (2018) [9] presents a general approach for continuous-time principal-agent problems, through dynamic programming and second-order…