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Dynamic Principal-Agent Problem Based upon the Stochastic Differential Utility
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- Nakamura Nobuhiro
- Hitotsubashi University
Bibliographic Information
- Other Title
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- 確率微分効用理論に基づく動学的プリンシパル-エージェント問題
Description
We study the dynamic principal-agent problem based upon the stochastic differential utility. In this paper we assume that the principal and agent make decisions based upon each stochastic differential utility. We apply the stochastic maximum principle togive necessary and sufficient conditions for optimal contracts, for both the symmetricinformation case and the hidden information case. We elucidate that the optimal contract, optimal consumption of the principal, optimal control for the output state variable by the agent are characterized by a certain type of forward-backward stochastic differential equations.
Journal
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- NCTAM papers, National Congress of Theoretical and Applied Mechanics, Japan
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NCTAM papers, National Congress of Theoretical and Applied Mechanics, Japan 54 (0), 52-52, 2005
National Committee for IUTAM
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Details 詳細情報について
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- CRID
- 1390001205594064512
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- NII Article ID
- 130004603540
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- Data Source
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- JaLC
- CiNii Articles
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- Abstract License Flag
- Disallowed