The optimal contracts in continuous time under Knightian uncertainty
| Title | The optimal contracts in continuous time under Knightian uncertainty |
| Publication Type | Conference Paper |
| Year of Publication | 2015 |
| Authors | Wei, Q., Shi, X. |
| Conference Name | 2015 34th Chinese Control Conference (CCC) |
| Date Published | jul |
| Keywords | continuous time system, continuous time systems, contracts, differential equations, financial management, g-expectation framework, Knightian uncertainty, optimal contract, optimal contracts, optimal control, optimal control theory, optimisation, Optimization, principal-agent problems, pubcrawl170107, pubcrawl170108, TV, Uncertainty, Yttrium |
| 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. |
| URL | http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=7260017&isnumber=7259602 |
| DOI | 10.1109/ChiCC.2015.7260017 |
| Citation Key | wei_optimal_2015 |
- optimal control
- Yttrium
- uncertainty
- TV
- pubcrawl170108
- pubcrawl170107
- principal-agent problems
- optimization
- optimisation
- optimal control theory
- continuous time system
- optimal contracts
- optimal contract
- Knightian uncertainty
- g-expectation framework
- financial management
- differential equations
- contracts
- continuous time systems