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

Speaker:
Organiser:
Rahul Vaze
Date:
Tuesday, 4 Apr 2017, 16:00 to 17:00
Venue:
A-201 (STCS Seminar Room)
Category:
Abstract
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.