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PDEs and Principal-Agent Problems

PDE and Applied Math Seminar

Speaker: Lawrence C. Evans, Berkeley
Location: 2112 MSB
Start time: Thu, Oct 23 2014, 4:10PM

I will talk about continuous-time principal-agent problems in economics and give a new and very easy derivation of Sannikov's optimality condition. This leads to some interesting Hamilton-Jacobi-Bellman type fully nonlinear parabolic equations.