American Economic Association
Controlling the Drift. Backward SDEs. Du kanske gillar. Permanent Record Edward Snowden Inbunden. Lifespan David Sinclair Inbunden. Spara som favorit. Skickas inom vardagar. In recent years there has been a significant increase of interest in continuous-time Principal-Agent models, or contract theory, and their applications. Input-to-state stability of continuous-time systems via finite-time Lyapunov functions. Lakhdar Aggoun , Lakdere Benkherouf. A Markov modulated continuous-time capture-recapture population estimation model.
Zhigang Zeng , Tingwen Huang. New passivity analysis of continuous-time recurrent neural networks with multiple discrete delays. A continuous-time queueing model with class clustering and global FCFS service discipline. Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset.
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Ping Chen , Haixiang Yao. Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching. Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks. A Stackelberg game management model of the urban public transport. A unified theory of maximum principle for continuous and discrete time optimal control problems.
Zaki Chbani , Hassan Riahi.
Contract Theory in Continuous-Time Models
Weak and strong convergence of prox-penalization and splitting algorithms for bilevel equilibrium problems. A strategic market game approach for the private provision of public goods. Convergence to equilibrium of a multiscale model for suspensions. Game theory and dynamic programming in alternate games. A hyperbolic model of spatial evolutionary game theory.
American Institute of Mathematical Sciences. Previous Article Global analysis of solutions on the Cournot-Theocharis duopoly with variable marginal costs. Department of Quantitative Economics, P.
Keywords: Continuous-time game theory , perfect-public equilibrium , weak convergence. On repeated games with imperfect public monitoring: From discrete to continuous time. References:  D. Google Scholar  C. Google Scholar  A. Google Scholar  B. Google Scholar  B.
Google Scholar  P. Google Scholar  P. Google Scholar  J. Google Scholar  N. Google Scholar  S. Google Scholar  E. Google Scholar  D. Google Scholar  D. Optimal contracts are characterized via a system of Forward-Backward Stochastic Differential Equations. In a number of interesting special cases these can be solved explicitly, enabling derivation of many qualitative economic conclusions.
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Review "The book under review provides a complete treatment of the principal-agent problem that covers all cases treated in economic literature This book is a good reference book for researchers and graduate students in economic theory, finance and mathematical economics. Continuous-time contract theory is particularly useful in finance. This book provides a basic methodological framework, which can be used to develop further advances, both in applications and in theory. See all Product description.
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