{"id":"https://openalex.org/W4211204780","doi":"https://doi.org/10.1137/20m1321620","title":"Random Horizon Principal-Agent Problems","display_name":"Random Horizon Principal-Agent Problems","publication_year":2022,"publication_date":"2022-02-01","ids":{"openalex":"https://openalex.org/W4211204780","doi":"https://doi.org/10.1137/20m1321620"},"language":"en","primary_location":{"id":"doi:10.1137/20m1321620","is_oa":false,"landing_page_url":"https://doi.org/10.1137/20m1321620","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/2002.10982","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5045311107","display_name":"Yiqing Lin","orcid":"https://orcid.org/0009-0008-2129-0533"},"institutions":[{"id":"https://openalex.org/I183067930","display_name":"Shanghai Jiao Tong University","ror":"https://ror.org/0220qvk04","country_code":"CN","type":"education","lineage":["https://openalex.org/I183067930"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Yiqing Lin","raw_affiliation_strings":["School of Mathematical Sciences, Shanghai Jiao Tong University, 200240 Shanghai, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematical Sciences, Shanghai Jiao Tong University, 200240 Shanghai, China","institution_ids":["https://openalex.org/I183067930"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5044750709","display_name":"Zhenjie Ren","orcid":"https://orcid.org/0000-0003-4656-4074"},"institutions":[{"id":"https://openalex.org/I171048554","display_name":"Centre de Recherche en Math\u00e9matiques de la D\u00e9cision","ror":"https://ror.org/03s0gj002","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I171048554","https://openalex.org/I2746051580","https://openalex.org/I4210141950","https://openalex.org/I56435720"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Zhenjie Ren","raw_affiliation_strings":["CEREMADE - CEntre de REcherches en MAth\u00e9matiques de la DEcision (Place du Mar\u00e9chal de Lattre de Tassigny 75775 - Paris Cedex 16 - France)"],"raw_orcid":"https://orcid.org/0000-0003-4656-4074","affiliations":[{"raw_affiliation_string":"CEREMADE - CEntre de REcherches en MAth\u00e9matiques de la DEcision (Place du Mar\u00e9chal de Lattre de Tassigny 75775 - Paris Cedex 16 - France)","institution_ids":["https://openalex.org/I171048554"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5105990961","display_name":"Nizar Touzi","orcid":null},"institutions":[{"id":"https://openalex.org/I142476485","display_name":"\u00c9cole Polytechnique","ror":"https://ror.org/05hy3tk52","country_code":"FR","type":"education","lineage":["https://openalex.org/I142476485","https://openalex.org/I4210145102"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Nizar Touzi","raw_affiliation_strings":["CMAP, \u00c9cole Polytechnique, F-91128 Palaiseau Cedex, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"CMAP, \u00c9cole Polytechnique, F-91128 Palaiseau Cedex, France","institution_ids":["https://openalex.org/I142476485"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5067889601","display_name":"Junjian Yang","orcid":"https://orcid.org/0000-0001-7644-0166"},"institutions":[{"id":"https://openalex.org/I145847075","display_name":"TU Wien","ror":"https://ror.org/04d836q62","country_code":"AT","type":"education","lineage":["https://openalex.org/I145847075"]}],"countries":["AT"],"is_corresponding":false,"raw_author_name":"Junjian Yang","raw_affiliation_strings":["FAM, Fakult\u00e4t f\u00fcr Mathematik und Geoinformation, Vienna University of Technology, A-1040 Vienna, Aus-tria"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"FAM, Fakult\u00e4t f\u00fcr Mathematik und Geoinformation, Vienna University of Technology, A-1040 Vienna, Aus-tria","institution_ids":["https://openalex.org/I145847075"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5045311107"],"corresponding_institution_ids":["https://openalex.org/I183067930"],"apc_list":null,"apc_paid":null,"fwci":3.9809,"has_fulltext":false,"cited_by_count":19,"citation_normalized_percentile":{"value":0.93998279,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":97,"max":99},"biblio":{"volume":"60","issue":"1","first_page":"355","last_page":"384"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.998199999332428,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.998199999332428,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11182","display_name":"Auction Theory and Applications","score":0.9854999780654907,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.983299970626831,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/principal","display_name":"Principal (computer security)","score":0.6582456827163696},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5809216499328613},{"id":"https://openalex.org/keywords/hazard","display_name":"Hazard","score":0.5033003687858582},{"id":"https://openalex.org/keywords/order","display_name":"Order (exchange)","score":0.4777785539627075},{"id":"https://openalex.org/keywords/subject","display_name":"Subject (documents)","score":0.4407527446746826},{"id":"https://openalex.org/keywords/principal-part","display_name":"Principal part","score":0.4388739764690399},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.3780311942100525},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.27583763003349304},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.17463847994804382},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.11448436975479126},{"id":"https://openalex.org/keywords/world-wide-web","display_name":"World Wide Web","score":0.09868711233139038},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.0895979106426239},{"id":"https://openalex.org/keywords/computer-security","display_name":"Computer security","score":0.07766884565353394}],"concepts":[{"id":"https://openalex.org/C144559511","wikidata":"https://www.wikidata.org/wiki/Q2986279","display_name":"Principal (computer security)","level":2,"score":0.6582456827163696},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5809216499328613},{"id":"https://openalex.org/C49261128","wikidata":"https://www.wikidata.org/wiki/Q1132455","display_name":"Hazard","level":2,"score":0.5033003687858582},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.4777785539627075},{"id":"https://openalex.org/C2777855551","wikidata":"https://www.wikidata.org/wiki/Q12310021","display_name":"Subject (documents)","level":2,"score":0.4407527446746826},{"id":"https://openalex.org/C194053038","wikidata":"https://www.wikidata.org/wiki/Q7245087","display_name":"Principal part","level":2,"score":0.4388739764690399},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.3780311942100525},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.27583763003349304},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.17463847994804382},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.11448436975479126},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.09868711233139038},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0895979106426239},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.07766884565353394},{"id":"https://openalex.org/C178790620","wikidata":"https://www.wikidata.org/wiki/Q11351","display_name":"Organic chemistry","level":1,"score":0.0},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1137/20m1321620","is_oa":false,"landing_page_url":"https://doi.org/10.1137/20m1321620","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:2002.10982","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2002.10982","pdf_url":"https://arxiv.org/pdf/2002.10982","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"pmh:oai:HAL:hal-03909150v1","is_oa":false,"landing_page_url":"https://hal.science/hal-03909150","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SIAM Journal on Control and Optimization, 2022, 60 (1), pp.355-384. &#x27E8;10.1137/20M1321620&#x27E9;","raw_type":"Journal articles"},{"id":"pmh:oai:RePEc:arx:papers:2002.10982","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:basepub.dauphine.psl.eu:123456789/24027","is_oa":true,"landing_page_url":"https://basepub.dauphine.psl.eu/handle/123456789/24027","pdf_url":null,"source":{"id":"https://openalex.org/S4306401007","display_name":"Base Institutionnelle de Recherche de l'universit\u00e9 Paris-Dauphine (BIRD) (University Paris-Dauphine)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I102197404","host_organization_name":"Universit\u00e9 Paris-Sud","host_organization_lineage":["https://openalex.org/I102197404"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article accept\u00e9 pour publication ou publi\u00e9"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:2002.10982","is_oa":true,"landing_page_url":"http://arxiv.org/abs/2002.10982","pdf_url":"https://arxiv.org/pdf/2002.10982","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G2712932445","display_name":null,"funder_award_id":"321111","funder_id":"https://openalex.org/F4320338335","funder_display_name":"H2020 European Research Council"},{"id":"https://openalex.org/G8078051926","display_name":null,"funder_award_id":"11801365","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"},{"id":"https://openalex.org/F4320338335","display_name":"H2020 European Research Council","ror":"https://ror.org/0472cxd90"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":15,"referenced_works":["https://openalex.org/W1959191805","https://openalex.org/W2059922898","https://openalex.org/W2067773920","https://openalex.org/W2089653886","https://openalex.org/W2090368673","https://openalex.org/W2094649962","https://openalex.org/W2106580408","https://openalex.org/W2147685060","https://openalex.org/W2157883119","https://openalex.org/W2168474627","https://openalex.org/W2170037608","https://openalex.org/W2963090175","https://openalex.org/W2964157002","https://openalex.org/W3063606321","https://openalex.org/W3135032730"],"related_works":["https://openalex.org/W2381927072","https://openalex.org/W2350188767","https://openalex.org/W2379779959","https://openalex.org/W2392350793","https://openalex.org/W2366352970","https://openalex.org/W2394396621","https://openalex.org/W2343774530","https://openalex.org/W2375966960","https://openalex.org/W2385629060","https://openalex.org/W2383537888"],"abstract_inverted_index":{"We":[0,55,136,162],"consider":[1,57],"a":[2,12,16],"general":[3],"formulation":[4],"of":[5,25,51,61,76,100,142,168,184,189,201],"the":[6,22,26,28,35,43,49,52,58,62,65,73,77,110,146,154,178,197],"random":[7,29,202],"horizon":[8,30,203],"principal-agent":[9],"problem":[10],"with":[11,37],"continuous":[13],"payment":[14,18],"and":[15,127,214],"lump-sum":[17],"at":[19],"termination.":[20],"In":[21],"European":[23],"version":[24,60],"problem,":[27],"is":[31,106,150,170,193],"chosen":[32],"solely":[33],"by":[34,70,97,108,153,195],"principal":[36],"no":[38,187],"other":[39],"possible":[40],"action":[41],"from":[42],"agent":[44,66],"than":[45],"exerting":[46],"effort":[47,149],"on":[48],"dynamics":[50],"output":[53],"process.":[54],"also":[56,68],"American":[59],"contract,":[63],"where":[64],"can":[67],"quit":[69],"optimally":[71],"choosing":[72],"termination":[74],"time":[75],"contract.":[78],"Our":[79],"main":[80],"result":[81,192,200],"reduces":[82],"such":[83],"nonzero-sum":[84],"stochastic":[85,90,101,159],"differential":[86],"games":[87],"to":[88],"appropriate":[89,140,174],"control":[91,102,160],"problems":[92],"which":[93,145],"may":[94],"be":[95],"solved":[96],"standard":[98,155],"methods":[99],"theory.":[103,161],"This":[104],"reduction":[105],"obtained":[107,194],"following":[109],"Sannikov":[111],"[Rev.":[112],"Econom.":[113],"Stud.,":[114],"75":[115],"(2008),":[116],"pp.":[117,134],"957--984]":[118],"approach,":[119],"further":[120],"developed":[121],"in":[122,158,172,207],"[J.":[123],"Cvitanic\u0301,":[124],"D.":[125],"Possamai\u0308,":[126],"N.":[128,212],"Touzi,":[129,213],"Finance":[130],"Stoch.,":[131],"22":[132],"(2018),":[133],"1--37].":[135],"first":[137],"introduce":[138],"an":[139,173],"class":[141,167],"contracts":[143,169,185],"for":[144],"agent's":[147],"optimal":[148],"immediately":[151],"characterized":[152],"verification":[156],"argument":[157],"then":[163],"show":[164],"that":[165,177],"this":[166,181],"dense":[171],"sense,":[175],"so":[176],"optimization":[179],"over":[180],"restricted":[182],"family":[183],"represents":[186],"loss":[188],"generality.":[190],"The":[191],"using":[196],"recent":[198],"well-posedness":[199],"second-order":[204],"backward":[205],"SDEs":[206],"[Y.":[208],"Lin,":[209],"Z.":[210],"Ren,":[211],"J.":[215,218],"Yang,":[216],"Electron.":[217],"Probab.,":[219],"25":[220],"(2020),":[221],"99].":[222]},"counts_by_year":[{"year":2025,"cited_by_count":6},{"year":2024,"cited_by_count":5},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":4}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
