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Title: Dynamic programming approach to the robust principal-agent problem
Authors: Sheng, Shunan
Keywords: Business::Management::Management games
Science::Mathematics::Applied mathematics::Optimization
Issue Date: 2020
Publisher: Nanyang Technological University
Source: Sheng, S. (2020). Dynamic programming approach to the robust principal-agent problem. Student Research Paper, Nanyang Technological University, Singapore.
Abstract: Principal-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.
Rights: © 2020 The Author(s).
Fulltext Permission: open
Fulltext Availability: With Fulltext
Appears in Collections:URECA Papers

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