School of Technology and Computer Science Seminars

Continuous-time Principal-Agent Problem: A Stackelberg Stochastic Differential Game

by Nizar Touzi (Ecole Polytechnique, France)

Tuesday, April 4, 2017 from to (Asia/Kolkata)
at A-201 (STCS Seminar Room)
Description
We provide a systematic method for solving general Principal-Agent problems. Our main result reduces such Stackelberg stochastic differential games to a standard 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.