Principal-agent problem with multiple principals
Probability
2022-09-14 v3
Abstract
We consider a moral hazard problem with multiple principals in a continuous-time model. The agent can only work exclusively for one principal at a given time, so faces an optimal switching problem. Using a randomized formulation, we manage to represent the agent's value function and his optimal effort by an It\^o process. This representation further helps to solve the principals' problem in case we have infinite number of principals in the sense of mean field game. Finally the mean field formulation is justified by an argument of propagation of chaos.
Cite
@article{arxiv.1904.01413,
title = {Principal-agent problem with multiple principals},
author = {Kaitong Hu and Zhenjie Ren and Junjian Yang},
journal= {arXiv preprint arXiv:1904.01413},
year = {2022}
}