Agent's optimization in unique-contract principal-agent problem with adverse selection is recast as stochastic target problem, enabling principal's objective as stochastic optimal control with partial information and state constraints.
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UNVERDICTED 3representative citing papers
Establishes global well-posedness for nonlocal linear equilibrium HJB equations via method of continuity and Schauder estimates, plus local well-posedness for the nonlinear case via linearization and fixed-point arguments.
Characterizes Nash equilibria for MMV portfolio problems via FBSDEs and extended HJBs, with MMV equilibria investing more than MV ones and gap narrowing over time.
citing papers explorer
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Principal-agent problems with adverse selection: A stochastic target problem formulation
Agent's optimization in unique-contract principal-agent problem with adverse selection is recast as stochastic target problem, enabling principal's objective as stochastic optimal control with partial information and state constraints.
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On the Well-posedness of Hamilton-Jacobi-Bellman Equations of the Equilibrium Type
Establishes global well-posedness for nonlocal linear equilibrium HJB equations via method of continuity and Schauder estimates, plus local well-posedness for the nonlinear case via linearization and fixed-point arguments.
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Time-consistent portfolio selection with monotone mean-variance preferences
Characterizes Nash equilibria for MMV portfolio problems via FBSDEs and extended HJBs, with MMV equilibria investing more than MV ones and gap narrowing over time.