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We study a general contracting problem between the principal and a finite set of competitive agents, who perform equivalent changes of measure by controlling the drift of the output process and the compensator of its associated jump measure.
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The optimal structure of incentives and authority within an organization
J.A. Mirrlees · 1976
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C. Dellacherie and É. Lenglart · 1981
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B. Holmström · 1982
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A comparison of tournaments and contracts
J.R. Green and N.L. Stokey · 1983
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An analysis of the principal–agent problem
S.J. Grossman and O.D. Hart · 1983
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Optimal incentive contracts with multiple agents
J.S. Demski and D. Sappington · 1984
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Optimal incentive schemes with many agents
D. Mookherjee · 1984
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The first-order approach to principal-agent problems
W. P. Rogerson · 1985
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Aggregation and linearity in the provision of intertemporal incentives
B. Holmström and P. Milgrom · 1987
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Justifying the first–order approach to principal–agent problems
I. Jewitt · 1988
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Backward stochastic differential equations and integral–partial differential equations
G. Barles, R. Buckdahn, and É. Pardoux · 1997
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Optimal stopping of controlled jump diffusion processes: a viscosity solution approach
H. Pham · 1998
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The theory of moral hazard and unobservable behaviour: part i (reprint of the unpublished 1975 version)
J.A. Mirrlees · 1999
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Limit theorems for stochastic processes , volume 288
J. Jacod and A. Shiryaev · 2003
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Existence and monotonicity of solutions to moral hazard problems
G. Carlier and R-A Dana · 2005
Dynamic contracting: accidents lead to nonlinear contracts
A. Capponi and C. Frei · 2015
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Stochastic calculus and applications , volume 2
S. Cohen and R. Elliott · 2015
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A general Doob–Meyer–Mertens decomposition for
B. Bouchard, D. Possamaï, and X. Tan · 2016
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Dynamic programming approach to principal–agent problems
J. Cvitanić, D. Possamaï, and N. Touzi · 2018
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Quadratic–exponential growth bsdes with jumps and their malliavin’s differentiability
M. Fujii and A. Takahashi · 2018
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Contracting theory with competitive interacting agents
R. Elie and D. Possamaï · 2019
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Backward stochastic differential equations with jumps and related non–linear expectations
M. Royer · 2006
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A continuous–time version of the principal–agent problem
Y. Sannikov · 2008
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Large risks, limited liability, and dynamic moral hazard
B. Biais, T. Mariotti, J.-C. Rochet, and S. Villeneuve · 2010
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A simple constructive approach to quadratic BSDEs with or without delay
P. Briand and R. Élie · 2013
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S. Bensalem, N. Hernández-Santibáñez, and N. Kazi-Tani · 2020
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Continuous-time incentives in hierarchies
E. Hubert · 2020
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Is there a golden parachute in sannikov’s principal-agent problem?
D. Possamaï and N. Touzi · 2020
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Optimal make-take fees in a multi market-maker environment
B. Baldacci, D. Possamaï, and M. Rosenbaum · 2021
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Martingale representations in progressive enlargement by multivariate point processes
A. Calzolari and B. Torti · 2021
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Optimal make–take fees for market making regulation
O. El Euch, T. Mastrolia, M. Rosenbaum, and N. Touzi · 2021
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Pollution regulation for electricity generators in a transmission network
N. Hernández-Santibáñez, A. Jofré, and D. Possamaï · 2021
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