Contract theory is an economic topic, that has been recently highlighted by the Economics Nobel Prize received by Bengt Holmstrom in 2016. This field is concerned with the design of optimal incentives between agents during a contracting process, and is often represented by a simplifying Principal-Agent model. In the last decade, the dynamic extension of such approach via continuous time models has emerged, in particular due to the impulsion of Y. Sannikov. We will see how the tools from Backward Stochastic Differential Equations and stochastic control allow to revisit such literature, in a clear mathematical way. In particular, we will discuss the case where a principal wishes to sign contracts with several agents in interaction.
Speaker(s): Romuald Elie (Universite Paris-Est and UM (Sabbatical))