In a linear-quadratic-Gaussian principal-agent model, optimal ESG disclosure contracts balance incentives via own- and cross-signal loadings plus asset hedging, converging to market-neutral identity pooling as the principal's risk aversion increases.
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The value function for optimal control of non-convolution Volterra integral diffusions is characterized as the unique viscosity solution to a parabolic PDE on Sobolev space, with applications to time-inconsistent contract problems.
Reformulates stochastic Stackelberg differential games under closed-loop strategies as a stochastic control problem with target constraints, solved via a system of HJB equations by treating the follower's continuation utility BSDE as a controlled state.
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Optimal incentive scheme for ESG disclosure
In a linear-quadratic-Gaussian principal-agent model, optimal ESG disclosure contracts balance incentives via own- and cross-signal loadings plus asset hedging, converging to market-neutral identity pooling as the principal's risk aversion increases.
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Optimal control of Volterra integral diffusions and application to contract theory
The value function for optimal control of non-convolution Volterra integral diffusions is characterized as the unique viscosity solution to a parabolic PDE on Sobolev space, with applications to time-inconsistent contract problems.
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Closed-loop equilibria for Stackelberg games: a story about stochastic targets
Reformulates stochastic Stackelberg differential games under closed-loop strategies as a stochastic control problem with target constraints, solved via a system of HJB equations by treating the follower's continuation utility BSDE as a controlled state.