A Dynamic Principal-Agent Problem with One-Sided Commitment

• 成果类型: Article; Early Access
• 署名作者: Zhang, Jianfeng; Zhu, Zimu
• 署名单位: University of Southern California; Hong Kong University of Science & Technology (Guangzhou)
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.2022.0223
• 发表日期: 2024
• 关键词: repeated moral hazard; time; COMPENSATION; linearity; CONTRACT

摘要

In this paper, we consider a principal-agent problem where the agent is allowed to quit by incurring a cost. When the current agent quits the job, the principal will hire a new one, possibly with a different type. We characterize the principal's dynamic value function, which could be discontinuous at the boundary, as the (unique) minimal solution of an infinite dimensional system of Hamilton-Jacobi-Bellman equations, parameterized by the agent's type. This dynamic problem is time consistent in a certain sense. Some interesting findings are worth mentioning. First, self-enforcing contracts are typically suboptimal. The principal would rather let the agent quit and hire a new one. Next, the standard contract for a committed agent may also be suboptimal because of the presence of different types of agents in our model. The principal may prefer no commitment from the agent; then, the principal can hire a cheaper one from the market at a later time by designing the contract to induce the current agent to quit. Moreover, because of the cost incurred to the agent, the principal will see only finitely many quittings.