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Contract Theory in Continuous-Time Models

Bag om Contract Theory in Continuous-Time Models

This monograph surveys recent results of the theory in a systematic way, using the approach of the so-called Stochastic Maximum Principle, in models driven by Brownian Motion. Optimal contracts are characterized via a system of Forward-Backward Stochastic Differential Equations.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783642433528
  • Indbinding:
  • Paperback
  • Sideantal:
  • 256
  • Udgivet:
  • 14. april 2014
  • Udgave:
  • 2013
  • Størrelse:
  • 155x234x20 mm.
  • Vægt:
  • 418 g.
  • BLACK NOVEMBER
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Leveringstid: 2-3 uger
Forventet levering: 26. november 2024

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This monograph surveys recent results of the theory in a systematic way, using the approach of the so-called Stochastic Maximum Principle, in models driven by Brownian Motion. Optimal contracts are characterized via a system of Forward-Backward Stochastic Differential Equations.

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