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PDEs and Principal-Agent Problems
PDE & Applied Mathematics| 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.