• DocumentCode
    2248227
  • 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
  • fYear
    2015
  • fDate
    28-30 July 2015
  • Firstpage
    2450
  • Lastpage
    2455
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Control Conference (CCC), 2015 34th Chinese
  • Conference_Location
    Hangzhou, China
  • Type

    conf

  • DOI
    10.1109/ChiCC.2015.7260017
  • Filename
    7260017
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2248227