Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/151274
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dc.contributor.authorSheng, Shunanen_US
dc.date.accessioned2021-06-22T07:17:01Z-
dc.date.available2021-06-22T07:17:01Z-
dc.date.issued2020-
dc.identifier.citationSheng, S. (2020). Dynamic programming approach to the robust principal-agent problem. Student Research Paper, Nanyang Technological University, Singapore. https://hdl.handle.net/10356/151274en_US
dc.identifier.urihttps://hdl.handle.net/10356/151274-
dc.description.abstractPrincipal-agent models are studied to incorporate the moral hazard where the agent has unobservable behavior. This paper considers a special formulation of the principal-agent problem with finite time lump-sum payment, which can be interpreted as the two-player stochastic differential game. Inspired by the latest works, we exploited the dynamic programming approach to solve the stochastic control problem. In addition, we investigated the robust formulation by introducing uncertainty to the drift function, resulting in an inaccurate observation about the output process.en_US
dc.language.isoenen_US
dc.publisherNanyang Technological Universityen_US
dc.rights© 2020 The Author(s).en_US
dc.subjectBusiness::Management::Management gamesen_US
dc.subjectScience::Mathematics::Applied mathematics::Optimizationen_US
dc.titleDynamic programming approach to the robust principal-agent problemen_US
dc.typeStudent Research Paperen
dc.contributor.supervisorPUN Chi Sengen_US
dc.contributor.schoolSchool of Physical and Mathematical Sciencesen_US
dc.contributor.supervisoremailcspun@ntu.edu.sgen_US
item.grantfulltextopen-
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