Visible to the public The optimal contracts in continuous time under Knightian uncertainty

TitleThe optimal contracts in continuous time under Knightian uncertainty
Publication TypeConference Paper
Year of Publication2015
AuthorsWei, Q., Shi, X.
Conference Name2015 34th Chinese Control Conference (CCC)
Date Publishedjul
Keywordscontinuous time system, continuous time systems, contracts, differential equations, financial management, g-expectation framework, Knightian uncertainty, optimal contract, optimal contracts, optimal control, optimal control theory, optimisation, Optimization, principal-agent problems, pubcrawl170107, pubcrawl170108, TV, Uncertainty, Yttrium

In this paper, we focus on the principal-agent problems in continuous time when the participants have ambiguity on the output process in the framework of g-expectation. The first best (or, risk-sharing) type is studied. The necessary condition of the optimal contract is derived by means of the optimal control theory. Finally, we present some examples to clarify our results.

Citation Keywei_optimal_2015