Convexity and optimality conditions for continuous time principal-agent problems
نویسندگان
چکیده
We present a simple convexity argument that clarifies the effectiveness and scope of Sannikov’s approach [S] to continuous time principal-agent problems. We in particular stress the importance of the appropriate concavity of the agent’s running payoff function as a function of his actions.
منابع مشابه
New optimality conditions for multiobjective fuzzy programming problems
In this paper we study fuzzy multiobjective optimization problems defined for $n$ variables. Based on a new $p$-dimensional fuzzy stationary-point definition, necessary efficiency conditions are obtained. And we prove that these conditions are also sufficient under new fuzzy generalized convexity notions. Furthermore, the results are obtained under general differentiability hypothesis.
متن کاملNonsmooth Continuous-Time Multiobjective Optimization Problems with Invexity
A few Karush-Kuhn-Tucker type of sufficient optimality conditions are given in this paper for nonsmooth continuous-time nonlinear multi-objective optimization problems in the Banach space L∞ [0, T ] of all n-dimensional vector-valued Lebesgue measurable functions which are essentially bounded, using Clarke regularity and generalized convexity. Further, we establish duality theorems for Wolfe an...
متن کاملDuality for vector equilibrium problems with constraints
In the paper, we study duality for vector equilibrium problems using a concept of generalized convexity in dealing with the quasi-relative interior. Then, their applications to optimality conditions for quasi-relative efficient solutions are obtained. Our results are extensions of several existing ones in the literature when the ordering cones in both the objective space and the constr...
متن کاملSequential Optimality Conditions and Variational Inequalities
In recent years, sequential optimality conditions are frequently used for convergence of iterative methods to solve nonlinear constrained optimization problems. The sequential optimality conditions do not require any of the constraint qualications. In this paper, We present the necessary sequential complementary approximate Karush Kuhn Tucker (CAKKT) condition for a point to be a solution of a ...
متن کاملContinuous-time Principal-Agent Problems: Necessary and Sufficient Conditions for Optimality∗
In this paper we present a unified approach to solving principal-agent problems in models driven by Brownian Motion. We apply the stochastic maximum principle to give necessary and sufficient conditions for optimal contracts, for both the symmetric information case and the hidden information case. We also make a distinction between the case of the utility from the payoff being separable or not ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2015