Special Seminar: Jianfeng Zhan

The Department of Finance and Risk Engineering will welcome Jianfeng Zhang, a Professor of Mathematics at the University of Southern California for a Special Seminar.

Title

A Dynamic Principal-Agent Problem with One-sided Commitment

Abstract

In this talk we consider a principal agent problem where the agent is allowed to quit. When the current agent quits the job, the principal would hire a new agent from the market, possibly with a different type. We shall characterize the principal's dynamic optimal value function through an infinite dimensional HJB equation, parametrized by the agent's type.

Our results show that self-enforcing contracts, which are considered in the standard literature for non-committed agents, are typically too "expensive" for the principal. Instead of disincentivizing the agent to quit, the principal would prefer to let the agent quit and hire a new one. Moreover,  the standard optimal contract for committed agent may also be suboptimal. In some markets, the principal may prefer the agent to quit so that she can hire a "cheaper" agent. The talk is based on a joint walk with Zimu Zhu.  

Bio

Jianfeng Zhang obtained a PhD degree in Mathematics from Purdue University in 2001. He was a postdoc at University of Minnesota for two years and has been a professor at University of Southern California since 2003. Prof. Zhang's research interests include Stochastic Analysis, especially Backward Stochastic Differential Equations, stochastic controls and games, stochastic numerics, and mathematical finance. He has (co-)authored 2 Springer books and more than 70 research papers.