The first-best sharing rule in the continuous-time principal-agent problem with exponential utility

Article Abstract:

A first-best sharing rule was obtained for Holmstrom and Milgrom's continuous-time principal-agent model with exponential utility. The first-best sharing rule, like the second-best sharing rule, is found to be a linear function of aggregated output. The rule was derived considering the fact that the principal and the agent both possess CARA utility and the problem under consideration is separable.

Research, Models, Functions, Exponential, Exponential functions

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Generic finiteness of equilibrium outcome distributions for sender-receiver cheap-talk games

Article Abstract:

The generic set of probability distributions over outcomes produced by equilibria is finite. Generic determinancy of equilibria for sender cheap-talk games exist, that is, for every generic set of utilities on results, there are a finite number of reduced form equilibria. When linear dependence results in an infinite set of equilibria, they automatically fail to be reduced form.

Equilibrium (Economics), Games

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Asymptotic efficiency in dynamic principal-agent problems

Article Abstract:

The Brownian model is developed with control revisions occurring during discrete time.

Economic aspects, Brownian motion

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