Agent's optimization in unique-contract principal-agent problem with adverse selection is recast as stochastic target problem, enabling principal's objective as stochastic optimal control with partial information and state constraints.
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Non-unique time arising from event-driven order flow points to a foundational market incompleteness beyond usual no-arbitrage assumptions.
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Principal-agent problems with adverse selection: A stochastic target problem formulation
Agent's optimization in unique-contract principal-agent problem with adverse selection is recast as stochastic target problem, enabling principal's objective as stochastic optimal control with partial information and state constraints.
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Non-unique time and market incompleteness
Non-unique time arising from event-driven order flow points to a foundational market incompleteness beyond usual no-arbitrage assumptions.