arXiv 1 Oct 2017 · Econometrics
arXiv:1710.00377 · PDF · DOI · OpenAlex · Extracted main text
Dynamic contracts with multiple agents is a classical decentralized decision-making problem with asymmetric information. In this paper, we extend the single-agent dynamic incentive contract model in continuous-time to a multi-agent scheme in finite horizon and allow the terminal reward to be dependent on the history of actions and incentives. We first derive a set of sufficient conditions for the existence of optimal contracts in the most general setting and conditions under which they form a Nash equilibrium. Then we show that the principal's problem can be converted to solving Hamilton-Jacobi-Bellman (HJB) equation requiring a static Nash equilibrium. Finally, we provide a framework to solve this problem by solving partial differential equations (PDE) derived from backward stochastic differential equations (BSDE).
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Sannikov Y (2008) A continuous-time version of the principal-agent problem | 1.000 | 5 | 3 | 100% |
| 2 | Holmstrom B, Milgrom P (1987) Aggregation and linearity in the provision of intertemporal incentives | 0.644 | 2 | 2 | 100% |
| 3 | Bergemann D, Strack P (2015) Dynamic revenue maximization: A continuous time approach | 0.405 | 1 | 1 | 100% |
| 4 | Björk T (2009) Arbitrage theory in continuous time | 0.405 | 1 | 1 | 100% |
| 5 | Cvitanić J, PossamaD, Touzi N (2015) Dynamic programming approach to principal-agent problems | 0.405 | 1 | 1 | 100% |
| 6 | Cvitanić J, PossamaD, Touzi N (2016) Moral hazard in dynamic risk management | 0.405 | 1 | 1 | 100% |
| 7 | Eaves BC, Sagal R (1972) Homotopies for computing fixed points in unbounded regions | 0.405 | 1 | 1 | 100% |
| 8 | Elie R, PossamaD (2016) Contracting theory with competitive interacting agents | 0.405 | 1 | 1 | 100% |
| 9 | Elie R, Mastrolia T, PossamaD (2016) A tale of a principal and many many agents | 0.405 | 1 | 1 | 100% |
| 10 | Fudenberg D, Holmstrom B, Milgrom P (1990) Short-term contracts and long-term agency relationships | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 15 scored citations.