A Continuous‐Time Version of the Principal–Agent Problem
[PDF] from berkeley.eduY Sannikov - Review of Economic Studies, 2008 - Wiley Online Library
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 ...
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Optimal security design and dynamic capital structure in a continuous-time agency model
[PDF] from stanford.edu…, Y Sannikov - The Journal of Finance, 2006 - interscience.wiley.com
ABSTRACT We derive the optimal dynamic contract in a continuous-time principal-agent
setting, and implement it with a capital structure (credit line, long-term debt, and equity) over
which the agent controls the payout policy. While the project's volatility and liq- uidation ...
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Games with imperfectly observable actions in continuous time
[PDF] from berkeley.eduY Sannikov - Econometrica, 2007 - Wiley Online Library
This paper investigates a new class of two-player games in continuous time, in which the
players' observations of each other's actions are distorted by Brownian motions. These games
are analogous to repeated games with imperfect monitoring in which the players take ...
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A Continuous-Time Agency Model of Optimal Contracting and Capital Structure
[PDF] from caltech.edu…, Y Sannikov - NBER working paper, 2004 - papers.ssrn.com
We would like to thank Mike Fishman for many helpful comments. We are also grateful to Han
Lee, Gustavo Manso, Nelli Oster, Ricardo Reis, Alexei Tchistyi, Jun Yan, Baozhong Yang as
well as seminar participants at the Universitat Automata de Barcelona, University of ...
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[PDF] Agency problems, screening and increasing credit lines
[PDF] from psu.eduY Sannikov - Relation, 2006 - Citeseer
† I am indebted to Peter DeMarzo for his insightful comments, suggestions, and support throughout
the development of this paper. I also thank seminar participants at Harvard, MIT, Stanford, UC
Berkeley, NYU, UIUC, University of Washington in St. Louis, Princeton, Banff Workshop, ...
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[PDF] A macroeconomic model with a financial sector
[PDF] from psu.edu…, Y Sannikov - Princeton University, November, mimeo, 2009 - Citeseer
ABSTRACT. This paper studies a macroeconomic model in which financial experts borrow from
less productive agents in order to invest in financial assets. We pursue three set of results: (i)
Going beyond a steady state analysis, we show that adverse shocks cause amplifying ...
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Impossibility of collusion under imperfect monitoring with flexible production
[PDF] from jstor.orgY Sannikov… - The American Economic Review, 2007 - ingentaconnect.com
Collusion is a major problem in many mar- kets and has been an important topic of study in both
applied and theoretical economics. From exposed collusive cases, we know how numer- ous
real-life cartels have been organized and what kinds of agreements (either implicit or ...
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The role of information in repeated games with frequent actions
[PDF] from stanford.eduY Sannikov… - Econometrica, 2010 - Wiley Online Library
We show that in repeated interactions the avenues for effective provision of incen- tives depend
crucially on the type of information players observe. We establish this conclusion for general
repeated two-player games in which information arrives via a continuous-time stationary ...
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Dynamic incentive accounts
[PDF] from psu.edu…, X Gabaix, T Sadzik, Y Sannikov - NBER Working Paper, 2009 - papers.ssrn.com
For helpful comments, we thank Ken Feinberg (US Treasury), Gilles Chemla, Ingolf
Dittmann, Zhiguo He and Eric Talley, and seminar participants at the Harvard Law School / Sloan
Foundation Conference on Corporate Governance, the LSE FMG Conference on ...
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Real options in a dynamic agency model, with applications to financial development, IPOs, and business risk
[PDF] from psu.edu…, Y Sannikov - NBER Working Paper, 2007 - papers.ssrn.com
We are grateful to Steven Davis, John Haltiwanger, Ron Jarmin and Javier Miranda for providing
us with data, and to Patrick Kehoe, Alexander Ljungqvist, Fabrizio Perri and Jean-Charles
Rochet, as well as seminar participants at NYU, Princeton and the Minnesota Workshop ...
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