Game Theory

Contract Theory in Continuous-Time Models (Springer Finance) by Jaksa Cvitanic,Jianfeng Zhang

By Jaksa Cvitanic,Jianfeng Zhang

In fresh years there was an important bring up of curiosity in continuous-time Principal-Agent versions, or agreement idea, and their purposes. Continuous-time versions supply a robust and chic framework for fixing stochastic optimization difficulties of discovering the optimum contracts among events, lower than numerous assumptions at the info they've got entry to, and the influence they've got at the underlying "profit/loss" values. This monograph surveys contemporary result of the idea in a scientific approach, utilizing the process of the so-called Stochastic greatest precept, in types pushed by means of Brownian Motion.

Optimal contracts are characterised through a procedure of Forward-Backward Stochastic Differential Equations. In a few attention-grabbing distinctive situations those could be solved explicitly, permitting derivation of many qualitative financial conclusions.

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