The mathematics behind a continuous time : principal - agent model
The theory of incentives has been one of the major developments in the economic literature in the last forty years. This branch of economics analyzes agency problems that arises when two individuals engage in a risk sharing situation under conditions in which their private knowledge affect the outco...
- Autores:
-
Franco Tabares, Santiago
- Tipo de recurso:
- Trabajo de grado de pregrado
- Fecha de publicación:
- 2017
- Institución:
- Universidad de los Andes
- Repositorio:
- Séneca: repositorio Uniandes
- Idioma:
- eng
- OAI Identifier:
- oai:repositorio.uniandes.edu.co:1992/61548
- Acceso en línea:
- http://hdl.handle.net/1992/61548
- Palabra clave:
- Cálculo de variaciones
Optimización matemática
Teoría del control
- Rights
- openAccess
- License
- http://creativecommons.org/licenses/by-nc-sa/4.0/
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Al consultar y hacer uso de este recurso, está aceptando las condiciones de uso establecidas por los autores.http://creativecommons.org/licenses/by-nc-sa/4.0/info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Junca Peláez, Mauricio Josévirtual::7196-1Franco Tabares, Santiago51474500Hoegele, Michael Anton2022-09-26T22:25:31Z2022-09-26T22:25:31Z2017http://hdl.handle.net/1992/61548instname:Universidad de los Andesreponame:Repositorio Institucional Sénecarepourl:https://repositorio.uniandes.edu.co/795263-1001The theory of incentives has been one of the major developments in the economic literature in the last forty years. This branch of economics analyzes agency problems that arises when two individuals engage in a risk sharing situation under conditions in which their private knowledge affect the outcome. This paper studies the recent development of new methods for analyzing continuous time dynamic models using stochastic calculus. In particular, I analyze the Sannikov (2008) continuous time principal-agent model, in which the output is a diffusion process with drift determined by the agent's unobserved effort. I describe the mathematical framework behind the model, I characterize the optimal contract and provide new insights that the discrete version of the model could not.--Tomado del Formato de Documento de Grado.La teoría de los incentivos ha sido uno de los desarrollos más significativos de la literatura económica durante los últimos cuarenta años. Esta rama de la economía analiza problemas de agencia que surgen cuando dos individuos participan en una situación en donde deben compartir un riesgo. Sin embargo, sus conocimientos privados afectan el estado del mundo. El presente artículo estudia los desarrollos recientes de nuevos métodos para analizar modelos dinámicos en tiempo continúo usando cálculo estocástico. En particular, analiza el modelo de principal - agente en tiempo continuo de Sannikov (2008), en donde el producto es un proceso de difusión cuya desviación está determinada por el esfuerzo del agente. Se describe la estructura matemática detrás del modelo y se caracteriza el contrato óptimo, proveyendo nuevos resultados que la versión estática del modelo no puede proveer.--Tomado del Formato de Documento de Grado.MatemáticoPregrado36 hojasapplication/pdfengUniversidad de los AndesMatemáticasFacultad de CienciasDepartamento de MatemáticasThe mathematics behind a continuous time : principal - agent modelTrabajo de grado - Pregradoinfo:eu-repo/semantics/bachelorThesisinfo:eu-repo/semantics/acceptedVersionhttp://purl.org/coar/resource_type/c_7a1fTexthttp://purl.org/redcol/resource_type/TPCálculo de variacionesOptimización matemáticaTeoría del control201111909Publicationhttps://scholar.google.es/citations?user=CoIlxH0AAAAJvirtual::7196-10000-0002-5541-0758virtual::7196-1https://scienti.minciencias.gov.co/cvlac/visualizador/generarCurriculoCv.do?cod_rh=0000155861virtual::7196-11e5c3dc6-4d9c-406b-9f99-5c91523b7e49virtual::7196-11e5c3dc6-4d9c-406b-9f99-5c91523b7e49virtual::7196-1THUMBNAIL12761.pdf.jpg12761.pdf.jpgIM Thumbnailimage/jpeg5364https://repositorio.uniandes.edu.co/bitstreams/8a18cb61-f986-4c5f-972a-12c786eeb8c0/downloadeaf31012503fe332eb433f7261703f06MD53TEXT12761.pdf.txt12761.pdf.txtExtracted texttext/plain66675https://repositorio.uniandes.edu.co/bitstreams/9418300f-a3c1-4be2-9866-6fabebe04b4b/downloadb18d89b914bb8160d7243e67651e4f5eMD52ORIGINAL12761.pdfapplication/pdf398755https://repositorio.uniandes.edu.co/bitstreams/470a0420-47d7-46af-ab15-0230a746c772/download235d9f02a1c774a1e3491995a3634980MD511992/61548oai:repositorio.uniandes.edu.co:1992/615482024-03-13 13:22:24.383http://creativecommons.org/licenses/by-nc-sa/4.0/open.accesshttps://repositorio.uniandes.edu.coRepositorio institucional Sénecaadminrepositorio@uniandes.edu.co |
| dc.title.spa.fl_str_mv |
The mathematics behind a continuous time : principal - agent model |
| title |
The mathematics behind a continuous time : principal - agent model |
| spellingShingle |
The mathematics behind a continuous time : principal - agent model Cálculo de variaciones Optimización matemática Teoría del control |
| title_short |
The mathematics behind a continuous time : principal - agent model |
| title_full |
The mathematics behind a continuous time : principal - agent model |
| title_fullStr |
The mathematics behind a continuous time : principal - agent model |
| title_full_unstemmed |
The mathematics behind a continuous time : principal - agent model |
| title_sort |
The mathematics behind a continuous time : principal - agent model |
| dc.creator.fl_str_mv |
Franco Tabares, Santiago |
| dc.contributor.advisor.none.fl_str_mv |
Junca Peláez, Mauricio José |
| dc.contributor.author.none.fl_str_mv |
Franco Tabares, Santiago |
| dc.contributor.jury.none.fl_str_mv |
Hoegele, Michael Anton |
| dc.subject.keyword.spa.fl_str_mv |
Cálculo de variaciones Optimización matemática Teoría del control |
| topic |
Cálculo de variaciones Optimización matemática Teoría del control |
| description |
The theory of incentives has been one of the major developments in the economic literature in the last forty years. This branch of economics analyzes agency problems that arises when two individuals engage in a risk sharing situation under conditions in which their private knowledge affect the outcome. This paper studies the recent development of new methods for analyzing continuous time dynamic models using stochastic calculus. In particular, I analyze the Sannikov (2008) continuous time principal-agent model, in which the output is a diffusion process with drift determined by the agent's unobserved effort. I describe the mathematical framework behind the model, I characterize the optimal contract and provide new insights that the discrete version of the model could not.--Tomado del Formato de Documento de Grado. |
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2017 |
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2017 |
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