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Date:2019-03-11

Indexed by:Journal Article

Date of Publication:2013-10-10

Journal:Journal of Information and Computational Science

Included Journals:Scopus、EI

Volume:10

Issue:15

Page Number:4975-4983

ISSN:15487741

Abstract:In this paper, we study the agent's optimal quitting in a continuous-time principal-agent problem, where the agent is payed once at the end of the contract. In a jump diffusion setting, we formulate the agency problem as a combined optimal stopping and stochastic control problem in weak formulation. To find the solutions, we develop the classical verification theorem in terms of Variational Inequality Hamilton-Jacobi-Bellman (VIHJB) equations in weak formulation. Finally, we solve explicitly the VIHJB equations in a special case. ? 2013 Binary Information Press.