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Principal-agent problem with multiple principals

Authors
  • HU, Kaitong
  • Ren, Zhenjie
  • Yang, Junjian
Publication Date
Apr 02, 2019
Source
HAL-UPMC
Keywords
Language
English
License
Unknown
External links

Abstract

We consider a moral hazard problem with multiple principals in a continuous-time model. The agent can only work exclusively for one principal at a given time, so faces an optimal switching problem. Using a randomized formulation, we manage to represent the agent's value function and his optimal effort by an Itô process. This representation further helps to solve the principals' problem in case we have infinite number of principals in the sense of mean field game. Finally the mean field formulation is justified by an argument of propagation of chaos.

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