Asymptotic efficiency in dynamic principal-agent problems
成果类型：
Article
署名作者：
Müller, HM
署名单位：
University of Mannheim
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1006/jeth.1999.2623
发表日期：
2000
页码：
292-301
关键词：
摘要：
In a seminal paper, B. R. Holmstrom and P. R. Milgrom 1987 Econometrica 55, 303-328) examine a principal-agent model in which the agent continuously controls the drift rate of a Brownian motion. Given a stationary environment, they show that the optimal sharing rule is a linear function of aggregated output. This paper considers a variant of the Brownian model in which control revisions take place in discrete time. It is shown that no matter how close discrete time is to continuous time, the first-best solution can be approximated arbitrarily closely with a random spot check and a suitably chosen sequence of step functions. Journal of Economic Literature Classification Numbers: D82, J33. (C) 2000 Academic Press.