2024/11/06 by Guillermo Alonso Alvarez, Erhan Bayraktar, Alvarez, Guillermo Alonso +5 · 1 citation
Engineering · Mathematics · #Control and Stability of Dynamical Systems #FOS: Economics and business #FOS: Mathematics #Numerical methods for differential equations #Optimization and Control (math.OC) #Probability (math.PR) #Theoretical Economics (econ.TH)
paper · pdf · doi:10.48550/arxiv.2411.04262
openalex publication_date 2024/11/06 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this paper we study a principal-agent problem in continuous time with multiple lump-sum payments (contracts) paid at different deterministic times. We reduce the non-zero sum Stackelberg game between the principal and agent to a standard stochastic optimal control problem. We apply our result to a benchmark model for which we investigate how different inputs (payment frequencies, payments' distribution, discounting factors, agent's reservation utility) affect the principal's value and agent's optimal compensations.