Speaker: Associate Professor Guillaume Roger
Affiliation: N/A
Location: Room 309, Steele Building (#03), UQ St Lucia Campus.
Abstract
This paper is concerned with a continuous time, dynamic contracting problem in which the principal observes performance at discrete intervals only. In spite of this, incentive compatibility can be enforced pathwise, but at additional costs to the principal. The discrete nature of the information of the principal gives rise to a mixed problem with continuous and discrete impulse control that is characterised by a quasi-variational inequality. We characterise the contract and compute the probability of over-payment, as well as the expected cost of these over-payments. Finally implement the contract in securities, which display real-life characteristics like special dividends.
About the presenter's meeting
A/Prof Roger will be visiting the School of Economics on Friday 7th October. While here, he will be using Room 520A, Level 5, Colin Clark Building (#39). If you would like to meet with A/ Prof Roger, please contact Prof Flavio Menezes while at The University of Queensland.
About School Seminar Series
The School of Economics General Seminar Series is held on Fridays. These are in-person and presented by a range of guest researchers from around Australia and internationally.