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论文类型：期刊论文
发表时间：2013-10-10
发表刊物：Journal of Information and Computational Science
收录刊物：EI、Scopus
卷号：10
期号：15
页面范围：4975-4983
ISSN号：15487741
摘要：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.