Optimal quitting in a dynamic agency problem for jump diffusions

被引：0
|
作者：
机构：
[1] Wang, Yan
[2] Song, Aimin
[3] Feng, Enmin
来源：
Song, A. (sam2002com@163.com) | 1600年 / Binary Information Press, Flat F 8th Floor, Block 3, Tanner Garden, 18 Tanner Road, Hong Kong卷 / 10期
关键词：
Variational techniques - Continuous time systems - Stochastic control systems;
D O I：
10.12733/jics20102269
中图分类号：
学科分类号：
摘要：
In this paper, we study the agent's optimal quitting in a continuous-time principal-agent problem, where the agent is payed once at the end of the contract. In a jump diffusion setting, we formulate the agency problem as a combined optimal stopping and stochastic control problem in weak formulation. To find the solutions, we develop the classical verification theorem in terms of Variational Inequality Hamilton-Jacobi-Bellman (VIHJB) equations in weak formulation. Finally, we solve explicitly the VIHJB equations in a special case. © 2013 Binary Information Press.
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