A Continuous-Time Version of the Principal–Agent Problem
提出一个连续时间委托代理模型，产出为扩散过程，代理人不可观测的努力决定漂移项。通过微分方程求解最优契约，并分析工资、努力动态及短期与长期激励的最优组合。
This paper describes a new continuous-time principal-agent model, in which the output is a diffusion process with drift determined by the agent's unobserved effort. The risk-averse agent receives consumption continuously. The optimal contract, based on the agent's continuation value as a state variable, is computed by a new method using a differential equation. During employment, the output path stochastically drives the agent's continuation value until it reaches a point that triggers retirement, quitting, replacement, or promotion. The paper explores how the dynamics of the agent's wages and effort, as well as the optimal mix of short-term and long-term incentives, depend on the contractual environment. Copyright 2008, Wiley-Blackwell.