backward stochastic differential equations 1continuous-time contracts 1dualities 1principal-agent problem 1volatility control 1
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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.OC2025
Viscosity Solutions for HJB Equations on the Process Space
Jianjun Zhou, Nizar Touzi, Jianfeng Zhang
In this paper we investigate a path dependent optimal control problem on the process space with both drift and volatility controls, with possibly degenerate volatility. The dynamic…