The continuous-time principal-agent problem with moral hazard and recursive preferences.

详细信息   

• 作者：Sinha ; Sumit Kumar.
• 学历：Doctor
• 年：2011
• 导师：Levental, Shlomo,eadvisorSchroder, Mark,eadvisorKoul, Hira L.ecommittee memberMeerschaert, Mark M.ecommittee member
• 毕业院校：Michigan State University
• Department：Statistics
• ISBN：9781267093271
• CBH：3489783
• Country：USA
• 语种：English
• FileSize：650310
• Pages：136

文摘

The thesis presents a solution to the principal-agent problem with moral hazard in a continuous-time Brownian filtration with recursive preferences, and pay over the contracts lifetime. Recursive preferences are essentially as tractable as time-additive utility because the agency problem induces recursivity in the principals utility even in the time-additive case. Furthermore, recursive preferences allow more flexible modeling of risk aversion. The thesis develops various results on Backward Stochastic Differential Equation BSDE), Functional Ito Calculus, an extension of Kuhn-Tucker Theorem and a maximum principle for multi-dimensional BSDEs. These concepts in conjunction with the theoery of gradient and supergradient density is used to derive a first order condition for the principal-agent problem. Various examples have been worked out with closed form solutions. The thesis also presents applications of Functional Ito Calculus in Finance. Various other problems of Financial Economics such as Pareto Optimality, Altruism, direct utility for wealth are solved using the technique developed under recursive preferences. The theory developed will be very useful in further development of BSDE applications and Functional Ito Calculus in financial mathematics.