Principal Agent problem with common agency without communication

In this paper, we consider a problem of contract theory in which several Principals hire a common Agent in the continuous time setting. We show that optimal contracts should satisfy some equilibrium conditions and we reduce... [ view full abstract ]

In this paper, we consider a problem of contract theory in which several Principals hire a common Agent in the continuous time setting. We show that optimal contracts should satisfy some equilibrium conditions and we reduce the optimisation problem of the Principals to a system of coupled HJB equations. We provide conditions ensuring that for risk-neutral Principals, the system of coupled HJB equations admits a solution. Further, we apply our study in a more specific linear-quadratic model where two interacting Principals hire one common Agent. 

Joint work with Zhenjie Ren.