An Optimal Control Problem Arising in a Generalized Principal-Agent Model with Limited Liability
Résumé
The paper is devoted to the mathematical analysis of an optimal control problem arising in a generalized principal-agent model with limited liability constraint. We present the economic model and the mathematical formulation. Though the problem seems ``simple'', it presents many difficulties that are hard to overcome. After a formal resolution, we give an existence and uniqueness result for this problem.