Tata Institute of Fundamental Research

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

STCS Colloquium
Speaker: Nizar Touzi (Ecole Polytechnique Centre de Mathematiques Appliquees UMR CNRS 7641 91128 Palaiseau Cedex France)
Organiser: Rahul Vaze
Date: Tuesday, 4 Apr 2017, 16:00 to 17:00
Venue: A-201 (STCS Seminar Room)

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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.