Collaborative Research: Theory, Numerics and Applications of Optimal Contracting in Stochastic Differential Equations Models

随机微分方程模型中最优契约的理论、数值和应用建议研究摘要Jaksa Cvitanic和Jianfeng Zhang本研究旨在研究连续时间模型中的最优契约理论及其在实践中对现有高管和经理薪酬方式的解释。还计划进行一些实验室实验，以测试这些理论的预测，并开发有效的数值方法来模拟模型。希望这项工作将有助于理解不同类型的补偿计划对合同当事人和整个社会的效率。本计画将研究使用随机最佳化的最佳契约模式，并使用前向倒向随机微分方程式在时间上动态地做出决定。分析将包括当涉及两个以上缔约方时所需的高维模型。建议开发有效的数值计算方案，这些问题的解决方案。

Theory, Numerics and Applications of Optimal Contracting in StochasticDifferential Equation ModelsAbstract of Proposed ResearchJaksa Cvitanic and Jianfeng ZhangThis research is to study the theory of optimal contracting in continuous time models and their interpretation for existing ways of compensating executives and managers in practice. It is also planned to conduct some laboratory experiments to test the predictions of these theories and develop efficient numerical methods for simulations of the models. The hope is that this work will help understand the efficiency of different types of compensation schemes for parties in a contract and for society as a whole. This project will study models of optimal contracting using stochastic optimization with decisions made dynamically in time using forward backward stochastic differential equations. The analysis will include high-dimensional models which are needed when there are more than two contracting parties involved. It is proposed to develop efficient numerical schemes for computing solutions of these problems.