Solving Principal-agent Problem with Dynamic Programming Method

摘要：

The paper studies Principal-agent problem with dynamic Programming Method. So as to .nd the optimal contact between a principal and an agent, we make a model in dynamic state process to maximize the expected utility of the agent and obtain the famous Hamilton-Jacobi-Bellman equation. Furthermore, we derive closed-form solution of HJB equation with a power utility function.

关键词： Principal-agent problem Dynamic programming method Stochastic differential equation Stochastic optimal control HJB equation.

作者: Xiaoyu Ren

作者单位: Institute of Economics Xuzhou Normal University Xuzhou 221116, Jiangsu province, China

会议类型: 国际会议

会议名称: 2011 Fourth International Conference on Business Intelligence and Financial Engineering(第四届商务智能与金融工程国际会议 BIFE2011)

会议地点: 武汉

会议语种:英文

页码: 662-664

在线出版日期: 2011-10-17（万方平台首次上网日期，不代表论文的发表时间）