A Note on the Multi-Agent Contracts in Continuous Time

Qi Luo; Romesh Saigal

doi:10.48550/arxiv.1710.00377

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A Note on the Multi-Agent Contracts in Continuous Time

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A Note on the Multi-Agent Contracts in Continuous Time

Qi Luo and Romesh Saigal

ArXiv.org

Cornell University

10/08/2017

DOI: 10.48550/arxiv.1710.00377

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https://doi.org/10.48550/arxiv.1710.00377View

Preprint (Author's original)This preprint has not been evaluated by subject experts through peer review. Preprints may undergo extensive changes and/or become peer-reviewed journal articles. Open Access

Abstract

Dynamic contracts with multiple agents is a classical decentralized decision-making problem with asymmetric information. In this paper, we extend the single-agent dynamic incentive contract model in continuous-time to a multi-agent scheme in finite horizon and allow the terminal reward to be dependent on the history of actions and incentives. We first derive a set of sufficient conditions for the existence of optimal contracts in the most general setting and conditions under which they form a Nash equilibrium. Then we show that the principal's problem can be converted to solving Hamilton-Jacobi-Bellman (HJB) equation requiring a static Nash equilibrium. Finally, we provide a framework to solve this problem by solving partial differential equations (PDE) derived from backward stochastic differential equations (BSDE).

Game Theory

Partial Differential Equations

Contracts

Decision making

Economic models

Incentives

Multiagent systems

Details

Title: Subtitle: A Note on the Multi-Agent Contracts in Continuous Time
Creators: Qi Luo
Romesh Saigal
Resource Type: Preprint
Publication Details: ArXiv.org
DOI: 10.48550/arxiv.1710.00377
ISSN: 2331-8422
Publisher: Cornell University; Ithaca, New York
Language: English
Date posted: 10/08/2017
Academic Unit: Business Analytics
Record Identifier: 9984696848102771

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