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Book synopsis

In the recent years there has been a significant increase in the 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/los" 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.

Book details

Book category Books in English Reference, information & interdisciplinary subjects Research & information: general Information theory

• Full title: Contract Theory in Continuous-Time Models
• Author: Jaksa Cvitanic, Jianfeng Zhang
• Language: English
• Binding: Hardback
• Number of pages: 256
• EAN: 9783642141997
• ISBN: 3642141994
• ID: 01656183
• Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
• Weight: 5266 g
• Dimensions: 235 × 155 × 20 mm
• Date of publishing: 26. September 2012

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