An Optimal Control Problem Arising in a Generalized Principal-Agent Model with Limited Liability

Maïtine Bergounioux (1) , Sandrine Ollier (2)

1 MAPMO - Mathématiques - Analyse, Probabilités, Modélisation - Orléans
2 GATE - Groupe d'analyse et de théorie économique

The paper is devoted to the mathematical analysis of an optimal control problem arising in a generalized principal-agent model with limited liability constraint. We present the economic model and the mathematical formulation. Though the problem seems ``simple'', it presents many difficulties that are hard to overcome. After a formal resolution, we give an existence and uniqueness result for this problem.

Keywords: Optimal contro; Bottleneck constraints; Incentives; Delegation; Personnel Economics

Domains: Optimization and Control [math.OC]

Maïtine Bergounioux, Sandrine Ollier. An Optimal Control Problem Arising in a Generalized Principal-Agent Model with Limited Liability. 2004. ⟨hal-00022036⟩