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2015. The optimal contracts in continuous time under Knightian uncertainty. 2015 34th Chinese Control Conference (CCC). :2450–2455.
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.