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)
(Scan to add to calendar)
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.
| 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) |
(Scan to add to calendar)
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.