On
behalf of the Scientific Committee of the de Finetti
Risk Seminars, we are
glad to invite you to participate at
the following Lecture
Title: Dynamic
programming approach to Principal-Agent problems
NIZAR TOUZI
Ecole
Polytechnique, Paris - France
Abstract: We consider a general formulation of the
Principal-Agent problem from Contract Theory, on a finite horizon.
We show how to reduce the problem to a stochastic control problem
which may be analyzed by the standard tools of control theory. In particular,
Agent’s value function appears naturally as a controlled state variable for the
Principal’s problem.
Our argument relies on the Backward Stochastic Differential
Equations approach to non-Markovian stochastic control, and more specifically,
on the most recent extensions to the second order case.
LOCATION:
The seminar will be held on Wednesday, November
18, at 18.00,
Aula di rappresentanza, Dept. of Mathematics, Milano
University, Via C. Saldini 50, Milano. A refreshment will
be offered at
17.30.
Scientific Committee
Prof. Simone Cerreia-Voglio (Univ. Bocconi)
Prof. Marco Frittelli
(Univ. degli Studi di Milano)
Prof. Fabio Maccheroni (Univ. Bocconi)
Prof.
Massimo Marinacci (Univ. Bocconi)
Prof. Emanuela Rosazza Gianin (Univ.
Milano-Bicocca)
Dott. Marco Maggis (Univ. degli Studi di
Milano)
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Emanuela
Rosazza Gianin
Dipartimento di Statistica e Metodi Quantitativi
Università
di Milano Bicocca
Edificio U7 – 4° Piano
Via Bicocca degli Arcimboldi,
8
20126 Milano
Tel. 02 64483208
Fax. 02 64483105
e-mail:
emanuela.rosazza1@unimib.it
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