The continuous-time principal-agent problem with moral hazard and recursive preferences
"The thesis deals with the three problems that belong to the intersection between stochastic analysis and financial economics. The problems are: 1. Continuous-time Principal-Agent Problem with moral hazard under recursive preferences. 2. General maximization principle with application to problems that arise in financial economics. 3. A Functional version of Ito formula."--P. 1.
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- In Collections
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Electronic Theses & Dissertations
- Copyright Status
- In Copyright
- Material Type
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Theses
- Authors
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Sinha, Sumit Kumar
- Thesis Advisors
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Levental, Shlomo
Schroder, Mark
- Committee Members
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Koul, Hira L.
Meerschaert, Mark M.
- Date Published
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2011
- Subjects
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Stochastic analysis
Probabilities
Moral hazard
Finance--Mathematical models
Financial risk
Mathematical models
- Program of Study
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Statistics
- Degree Level
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Doctoral
- Language
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English
- Pages
- vi, 135 pages
- ISBN
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9781267093271
1267093277
- Permalink
- https://doi.org/doi:10.25335/b146-s579