Discrete-Time Approximations of the Holmstrom-Milgrom Brownian-Motion Model of Intertemporal Incentive Provision
研究离散时间与连续时间委托代理模型的关系，证明离散时间模型的最优激励方案在周期缩短时趋近于连续时间模型中的线性方案，并探讨了仅观察总利润时近似最优的线性方案。
This paper studies the relation between discrete–time and continuous–time principal–agent models. We derive the continuous–time model as a limit of discrete–time models with ever shorter periods and show that optimal incentive schemes in the discrete–time models approximate the optimal incentive scheme in the continuous model, which is linear in accounts. Under the additional assumption that the principal observes only cumulative total profits at the end and the agent can destroy profits unnoticed, an incentive scheme that is linear in total profits is shown to be approximately optimal in the discrete–time model when the length of the period is small.