Optimal Quitting in a Dynamic Agency Problem for Jump Diffusions ⋆
نویسندگان
چکیده
In this paper, we study the agent’s optimal quitting in a continuous-time principal-agent problem, where the agent is payed once at the end of the contract. In a jump diffusion setting, we formulate the agency problem as a combined optimal stopping and stochastic control problem in weak formulation. To find the solutions, we develop the classical verification theorem in terms of Variational Inequality HamiltonJacobi-Bellman (VIHJB) equations in weak formulation. Finally, we solve explicitly the VIHJB equations in a special case.
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