03128nam 2200661 a 450 991043814280332120250609111432.01-283-64047-33-642-14200-110.1007/978-3-642-14200-0(CKB)3400000000086162(EBL)1030589(OCoLC)812017697(SSID)ssj0000766972(PQKBManifestationID)11414486(PQKBTitleCode)TC0000766972(PQKBWorkID)10739157(PQKB)10051147(DE-He213)978-3-642-14200-0(MiAaPQ)EBC1030589(PPN)16830824X(MiAaPQ)EBC4071649(MiAaPQ)EBC6220414(EXLCZ)99340000000008616220120810d2013 uy 0engur|n|---|||||txtccrContract theory in continuous-time models /Jaksa Cvitanic, Jianfeng Zhang1st ed. 2013.New York Springer20131 online resource (257 p.)Springer financeDescription based upon print version of record.3-642-43352-9 3-642-14199-4 Includes bibliographical references and index.pt. 1. Introduction -- pt. 2. First best : risk sharing under full information -- pt. 3. Second best : contracting under hidden action-the case of moral hazard -- pt. 4. Third best : contracting under hidden action and hidden type-the case of moral hazard and adverse selection -- pt. 5. Backward SDEs and forward-backward SDEs.In recent years there has been a significant increase of interest in continuous-time Principal-Agent models, or contract theory, and their applications. Continuous-time models provide a powerful and elegant framework for solving stochastic optimization problems of finding the optimal contracts between two parties, under various assumptions on the information they have access to, and the effect they have on the underlying "profit/loss" values. This monograph surveys recent results of the theory in a systematic way, using the approach of the so-called Stochastic Maximum Principle, in models driven by Brownian Motion. Optimal contracts are characterized via a system of Forward-Backward Stochastic Differential Equations. In a number of interesting special cases these can be solved explicitly, enabling derivation of many qualitative economic conclusions.Springer Finance,2195-0687ContractsMathematical modelsContractsPhilosophyContractsMethodologyContractsMathematical models.ContractsPhilosophy.ContractsMethodology.332.01519233Cvitanic Jaksa285404Zhang Jianfeng767387MiAaPQMiAaPQMiAaPQBOOK9910438142803321Contract theory in continuous-time models4194644UNINA