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This paper provides a complete review of the continuous-time optimal contracting problem introduced by Sannikov, in the extended context allowing for possibly different discount rates for both parties.
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Optimal contracts in a continuous-time delegated portfolio management problem
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H.M. Soner and N. Touzi · 2003
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The multi-dimensional super-replication problem under gamma constraints
P. Cheridito, H.M. Soner, and N. Touzi · 2005
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Optimal contracts in continuous-time models
J. Cvitanić, X. Wan, and J. Zhang · 2006
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Optimal security design and dynamic capital structure in a continuous-time agency model
P.M. DeMarzo and Y. Sannikov · 2006
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Convexity of solutions and
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Optimal dynamic contracts with hidden actions in continuous time
M.M. Westerfield · 2006
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Principal–agent analysis in continuous-time
Y. Zhou · 2006
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Dynamic security design: convergence to continuous time and asset pricing implications
B. Biais, T. Mariotti, G. Plantin, and J.-C. Rochet · 2007
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The role of boundary solutions in principal–agent problems of the Holmström–Milgrom type
M.F. Hellwig · 2007
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Sticky incentives and dynamic agency
J.Y. Zhu · 2011
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Contract theory in continuous-time models
J. Cvitanić and J. Zhang · 2012
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Dynamic agency and the q theory of investment
P.M. DeMarzo, M.J. Fishman, Z. He, and N. Wang · 2012
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Optimal compensation and pay–performance sensitivity in a continuous-time principal–agent model
N. Ju and X. Wan · 2012
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Dynamic financial contracting
B. Biais, T. Mariotti, and J.-C. Rochet · 2013
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Strategies in the principal–agent model
J.A. Mirrlees and R.C. Raimondo · 2013
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Agency problems, screening and increasing credit lines
Y. Sannikov · 2007
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Hedging under gamma constraints by optimal stopping and face-lifting
H.M. Soner and N. Touzi · 2007
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Principal–agent problems with exit options
J. Cvitanić, X. Wan, and J. Zhang · 2008
Cited alongside, same era.
Consistent price systems and face–lifting pricing under transaction costs
P. Guasoni, M. Rásonyi, and W. Schachermayer · 2008
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Leadership, trust, and power: dynamic moral hazard in high office
R.B. Myerson · 2008
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A continuous-time version of the principal–agent problem
Y. Sannikov · 2008
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Bank monitoring incentives and optimal ABS
H. Pagès · 2013
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Contracts: the theory of dynamic principal–agent relationships and the continuous-time approach
Y. Sannikov · 2013
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Optimal stochastic control, stochastic target problems, and backward SDE , volume 29 of
N. Touzi · 2013
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On Sannikov’s continuous-time principal–agent problem
S.M. Choi · 2014
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Continuous-time principal–agent problem with drift and stochastic volatility control: with applications to delegated portfolio management
R.C.W. Leung · 2014
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A mathematical treatment of bank monitoring incentives
H. Pagès and D. Possamaï · 2014
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Dynamic contracting: accidents lead to nonlinear contracts
A. Capponi and C. Frei · 2015
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When terminal facelift enforces Delta constraints
J.-F. Chassagneux, R. Élie, and I. Kharroubi · 2015
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On the smoothness of value functions and the existence of optimal strategies in diffusion models
B. Strulovici and M. Szydlowski · 2015
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A solvable continuous time dynamic principal–agent model
N. Williams · 2015
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Facelifting in utility maximization
K. Larsen, H.M. Soner, and G. Žitković · 2016
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Optimal dynamic contracts with moral hazard and costly monitoring
T. Piskorski and M.M. Westerfield · 2016
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Moral hazard in dynamic risk management
J. Cvitanić, D. Possamaï, and N. Touzi · 2017
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Optimal contract with moral hazard for public private partnerships
I. Hajjej, C. Hillairet, M. Mnif, and M. Pontier · 2017
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Dynamic programming approach to principal–agent problems
J. Cvitanić, D. Possamaï, and N. Touzi · 2018
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Existence and uniqueness for BSDEs with jumps: the whole nine yards
A. Papapantoleon, D. Possamaï, and A. Saplaouras · 2018
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A two-dimensional control problem arising from dynamic contracting theory
J.-P. Décamps and S. Villeneuve · 2019
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Optimal stopping contract for public private partnerships under moral hazard
I. Hajjej, C. Hillairet, and M. Mnif · 2019
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