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UID:bbc6c36948c6679db8d52fa1df06be11
CATEGORIES:Seminars
CREATED:20250228T071707
SUMMARY:Lunch Seminar: Guillaume Roger - Monash University
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:<p><em><strong>Dynamic contracting with imperfect observability </strong></
 em></p><p>Abstract:</p><p style="text-align: justify;">This paper is concer
 ned with a continuous time, dynamic contracting problem in&nbsp;which the p
 rincipal observes performance at discrete intervals only. In spite of this,
  incentive&nbsp;compatibility can be enforced pathwise, but at additional c
 osts to the principal.&nbsp;&nbsp;The discrete nature of the information of
  the principal gives rise to a mixed problem&nbsp;with continuous and discr
 ete impulse control that is characterised by a quasi-variational&nbsp;inequ
 ality. We characterise the contract and compute the probability of over-pay
 ment,&nbsp;as well as the expected cost of these over-payments. Finally we 
 implement the contract&nbsp;in securities, which display real-life characte
 ristics like special dividends.</p>
DTSTAMP:20260526T022506Z
DTSTART:20250626T130000Z
DTEND:20250626T140000Z
SEQUENCE:0
TRANSP:OPAQUE
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