Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5098644 | Journal of Economic Dynamics and Control | 2013 | 16 Pages |
Abstract
In this paper I provide a stopping-time-based solution to a long-term contracting problem between a risk-neutral principal and a risk-averse agent. The agent faces a stochastic income stream and cannot commit to the long-term contracting relationship. To compute the optimal contract, I also design an algorithm that is more efficient than value-function iteration.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Yuzhe Zhang,