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)

**************************************************** 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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