Colloquium – Dylan Posamaï – Moral hazard for time-inconsistent agents and BSVIEs
Dec 9, 2022
3:30PM to 4:30PM
Date(s) - 09/12/2022
3:30 pm - 4:30 pm
Title: Moral hazard for time-inconsistent agents and BSVIEs
Abstract: We address the problem of Moral Hazard in continuous time between a Principal and an Agent that has time-inconsistent preferences. Building upon previous results on non-Markovian time-inconsistent control for sophisticated agents, we are able to reduce the problem of the principal to a novel class of control problems, whose structure is intimately linked to the representation of the problem of the Agent via a so-called extended Backward Stochastic Volterra Integral equation. We will present some results on the characterization of the solution to problem for different specifications of preferences for both the Principal and the Agent.
Location: Hamilton Hall 305
Coffee and Cookies will be served in Hamilton Hall 305 at 3:00 pm. Everyone is welcome.