Mehdi Talbi, Universite Paris-Cite

Sannikov’s contracting problem with many Agents
Apr 10, 2024, 4:30 pm5:30 pm


Event Description

This work aims to study an extension of the celebrated Sannikov’s Principal-Agent problem to the multi-Agents case. In this framework, the contracts proposed by the Principal consist in a running payment, a retirement time and a final payment at retirement. After discussing how the Principal may derive optimal contracts in the N-Agent case, we explore the corresponding mean field model, with a continuous infinity of Agents. We then prove that the Principal’s problem can be reduced to a mixed control-and-stopping mean field problem, and we derive a semi-explicit solution of the first best contracting problem.

This is a joint work with Thibaut Mastrolia and Nizar Touzi.

Event Category
Financial Mathematics Seminar