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收缩的理论、数值及应用本研究的目的是研究连续时间模型中的最优收缩理论及其在实践中对现有高管和经理薪酬方式的解释。它还计划进行一些实验室实验，以检验这些理论的预测，并开发有效的数值方法来模拟这些模型。希望这项工作将有助于理解不同类型的补偿方案对合同当事人和整个社会的效率。这个项目将研究使用随机优化的最优收缩模型，其中使用正向倒向随机微分方程及时动态地做出决策。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格式来计算这些问题的解。

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.