Contract Theory in Continuous-Time Models (Springer Finance)

Cvitanic, J./ Zhang, J.

Springer（2012/07発売）

• 製本 Hardcover:ハードカバー版／ページ数 280 p.
• 商品コード 9783642141997

基本説明

This monograph surveys recent results of the theory in a systematic way, using the approach of the so-called Stochastic Maximum Principle, in models driven by Brownian Motion.

Full Description

This monograph surveys recent results of the theory in a systematic way, using the approach of the so-called Stochastic Maximum Principle, in models driven by Brownian Motion. Optimal contracts are characterized via a system of Forward-Backward Stochastic Differential Equations.