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摘要翻译：
多Agent动态契约是一个经典的信息不对称分散决策问题。本文将连续时间的单Agent动态激励契约模型推广到有限时域的多Agent方案，并允许最终报酬依赖于行为和激励的历史。我们首先导出了最一般情况下最优契约存在的一组充分条件，以及它们形成纳什均衡的条件。然后我们证明了主问题可以转化为求解Hamilton-Jacobi-Bellman(HJB)方程，需要一个静态Nash平衡。最后，通过求解倒向随机微分方程(BSDE)导出的偏微分方程(PDE)，我们提供了一个解决该问题的框架。
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英文标题：
《A Note on the Multi-Agent Contracts in Continuous Time》
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作者：
Qi Luo, Romesh Saigal
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最新提交年份：
2017
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
Dynamic contracts with multiple agents is a classical decentralized decision-making problem with asymmetric information. In this paper, we extend the single-agent dynamic incentive contract model in continuous-time to a multi-agent scheme in finite horizon and allow the terminal reward to be dependent on the history of actions and incentives. We first derive a set of sufficient conditions for the existence of optimal contracts in the most general setting and conditions under which they form a Nash equilibrium. Then we show that the principal's problem can be converted to solving Hamilton-Jacobi-Bellman (HJB) equation requiring a static Nash equilibrium. Finally, we provide a framework to solve this problem by solving partial differential equations (PDE) derived from backward stochastic differential equations (BSDE).
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PDF链接：
https://arxiv.org/pdf/1710.00377
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