Continuous-time Principal-Agent Problem: A Stackelberg Stochastic Differential Game

Speaker: 

Nizar Touzi

Affiliation: 

Ecole Polytechnique
Centre de Mathematiques Appliquees
UMR CNRS 7641
91128 Palaiseau Cedex
France

Time: 

Tuesday, 4 April 2017, 16:00 to 17:00

Venue: 

Organisers: 

We provide a systematic method for solving general Principal-Agent problems. Our main result reduces such Stackelberg stochastic differential games to a standard stochastic control problem, which may be addressed by the standard tools of control theory. Our proofs rely on the backward stochastic differential equations approach to non-Markovian stochastic control, and more specifically, on the recent extensions to the second order case.