英文标题：
《Dynamic programming approach to principal-agent problems》
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作者：
Jak\\v{s}a Cvitani\\\'c and Dylan Possama\\\"i and Nizar Touzi
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最新提交年份：
2017
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英文摘要：
We consider a general formulation of the Principal-Agent problem with a lump-sum payment on a finite horizon, providing a systematic method for solving such problems. Our approach is the following: we first find the contract that is optimal among those for which the agent\'s value process allows a dynamic programming representation, for which the agent\'s optimal effort is straightforward to find. We then show that the optimization over the restricted family of contracts represents no loss of generality. As a consequence, we have reduced this non-zero sum stochastic differential game to a stochastic control problem which may be addressed by the standard tools of control theory. Our proofs rely on the backward stochastic differential equations approach to non-Markovian stochastic control, and more specifically, on the recent extensions to the second order case.
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中文摘要：
我们考虑了有限时间内一次性付款委托代理问题的一般形式，为解决此类问题提供了一个系统的方法。我们的方法如下：我们首先在代理的价值过程允许动态规划表示的契约中找到最优契约，代理的最优努力很容易找到。然后，我们证明了在受限契约族上的优化并不代表失去一般性。因此，我们将这个非零和随机微分对策简化为一个随机控制问题，这个问题可以用控制理论的标准工具来解决。我们的证明依赖于非马尔可夫随机控制的倒向随机微分方程方法，更具体地说，依赖于最近对二阶情形的扩展。
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分类信息：

一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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