A Continuous-Time Version of the Principal-Agent

By Yuliy Sannikov. 2005

728 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/1ef66447b4eaba608630baa0a13066ebd1b70822

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Citations in the corpus

Optimal Executive Compensation when Firm Size Follows Geometric Brownian Motion (2009, background): “Tchistyi (2005) extends DF by allowing for correlated cash ows, and Sannikov (2006) studies a mixture of moral hazard and adverse selection problem.”
CEO Turnover in a Competitive Assignment Framework (2013, neutral): “Sannikov (2008) considers the effects of variation in firm and managerial outside options on the agency costs of providing incentives.”
Dynamic CEO Compensation (2012, background): “This paper is related to the dynamic agency literature, such as DeMarzo and Sannikov (2006), DeMarzo and Fishman (2007), He (2009), Sannikov (2008), Biais et al. (2007, 2010), 1State-dependent vesting is also featured in the Bonus Bank advocated by Stern Stewart, where the amount of the bonus that…”
Large risks, limited liability, and dynamic moral hazard (2010, methodology): “To characterize incentive compatibility, we rely on martingale techniques similar to those introduced by Sannikov (2008).”
Is Pay for Performance Detrimental to Innovation? (2009, background): “This evidence stands in contrast to dynamic principal-agent models of repeated ef-20 fort, such as Rogerson (1985), Holmstrom and Milgrom (1987) and Sannikov (2008) which predict that the exploration contract should induce more shirking during the ﬁrst ten periods of the experiment than the…”
Uncertainty Shocks and Balance Sheet Recessions (2017, methodology): “The contracting setup is related to the literature on dynamic contracts in continuous time, such as Sannikov (2008) and especially DeMarzo and Sannikov (2006) (orDeMarzo and Fishman [2007] in discrete time).”
On Dynamic Principal-Agent Problems in Continuous Time (2004, methodology): “…margin (an “intertemporal wedge”).5 Moral hazard in production leads directly to a wedge between the agent’s marginal rate of substitution and the marginal product of la- 2 Independently in concurrent research, Sannikov (2008) has given a similar proof in a simpler model with only hidden actions.”
Mean–field moral hazard for optimal energy demand response management (2019, background): “1 Intuition from the Markovian framework One of the cornerstones of the approach to continuous–time moral hazard problems pioneered by Sannikov [45], and studied in full generality in Cvitanić, Possamaï, and Touzi [18], is to obtain an appropriate probabilistic representation for incentive–compatibl”
Pay for Performance and Beyond (2017, background): “Sannikov (2008) solves a general, nonstationary agency problem using powerful techniques from stochastic control theory. ese techniques require a keen eye for nding just the right assumptions to make the analysis go through, but the payo can be high as illustrated in Edmans et al.’s (2012) dynamic…”
Managerial Turnover in a Changing World (2012, neutral): “Toulouse School of Economics”
A Model of Dynamic Compensation and Capital Structure (2011, neutral): “By the martingale representation theorem (e.g., Sannikov, 2008), Eq.”
Games with Imperfectly Observable Actions in Continuous Time (2007, background): “Springer-Verlag, New York, 1990 [19] Sannikov, Y.”
Contracting with Repeated Moral Hazard and Private Evaluations (2007, methodology): “There is no equivalent to the tools developed by Abreu et al. (1990) or Yuliy Sannikov (2004) applicable to these types of games.”
Reputation in Continuous‐Time Games (2011, background): “4See also Sannikov (2008) for an application of this methodology to agency problems.”
Optimal Compensation with Hidden Action and Lump-Sum Payment in a Continuous-Time Model (2009, background): “A very nice paper with a setting in which the payment to the agent is continuous is Sannikov [23].”