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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…
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…
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…