Title :
The optimal contracts in continuous time under Knightian uncertainty
Author :
Wei, Qingmeng ; Shi, Xiaomin
Author_Institution :
School of Mathematics and Statistics, Northeast Normal University, Changchun 130024, P.R. China
Abstract :
In this paper, we focus on the principal-agent problems in continuous time when the participants have ambiguity on the output process in the framework of g-expectation. The first best (or, risk-sharing) type is studied. The necessary condition of the optimal contract is derived by means of the optimal control theory. Finally, we present some examples to clarify our results.
Keywords :
Contracts; Differential equations; Optimal control; Optimization; TV; Uncertainty; Yttrium; Knightian uncertainty; optimal contract; principal-agent problems;
Conference_Titel :
Control Conference (CCC), 2015 34th Chinese
Conference_Location :
Hangzhou, China
DOI :
10.1109/ChiCC.2015.7260017
