Abraham, A. and N. Pavoni (2003). Efficient Allocations with Moral Hazard and Hidden Borrowing and Lending. Working paper, University College London.
Abreu, D., D. Pearce, and E. Stacchetti (1986). Optimal Cartel Equilibria with Imperfect Monitoring. Journal of Economic Theory 39, 251–269.
Albanesi, S. and C. Sleet (2006). Dynamic Optimal Taxation with Private Information. Review of Economic Studies 73, 130.
Atkeson, A. and R. E. Lucas (1992). On Efficient Distribution with Private Information. Review of Economic Studies 59, 427–453.
Battaglini, M. (2005). Long-Term Contracting with Markovian Consumers. American Economic Review 95, 637–658.
Biais, B., T. Mariotti, G. Plantin, and J.-C. Rochet (2007). Dynamic Security Design: Convergence to Continuous Time and Asset Pricing Implications. Review of Economic Studies 74, 345–90.
- Bismut, J. M. (1973). Conjugate Convex Functions in Optimal Stochastic Control. Journal of Mathematical Analysis and Applications 44, 384–404.
Paper not yet in RePEc: Add citation now
- Bismut, J. M. (1978). Duality Methods in the Control of Densities. SIAM Journal on Control and Optimization 16, 771–777.
Paper not yet in RePEc: Add citation now
- CvitanicÌ, J., X. Wan, and J. Zhang (2007). Continuous-Time Principal-Agent Problems with Hidden Action and Lump-Sum Payment. Working paper, Caltech.
Paper not yet in RePEc: Add citation now
DeMarzo, P. M. and Y. Sannikov (2006). Optimal Security Design and Dynamic Capital Structure in a Continuous-Time Agency Model. Journal of Finance 61, 2681–2724.
Fernandes, A. and C. Phelan (2000). A Recursive Formulation for Repeated Agency with History Dependence. Journal of Economic Theory 91, 223–247.
Golosov, M. and A. Tsyvinski (2006). Designing Optimal Disability Insurance: A Case for Asset Testing. Journal of Political Economy 114, 257–279.
Golosov, M., N. Kocherlakota, and A. Tsyvinski (2003). Optimal indirect and capital taxation. Review of Economic Studies 70, 569–587.
- Green, E. J. (1987). Lending and the Smoothing of Uninsurable Income. In E. C. Prescott and N. Wallace (Eds.), Contractual Arrangements for Intertemporal Trade, pp. 3–25. Minneapolis: University of Minnesota Press.
Paper not yet in RePEc: Add citation now
Kapicka, M. (2006). Efficient Allocations in Dynamic Private Information Economies with Persistent Shocks: A First Order Approach. Working paper, University of California, Santa Barbara.
- Karatzas, I. and S. E. Shreve (1991). Brownian Motion and Stochastic Calculus (Second ed.). New York: Springer-Verlag.
Paper not yet in RePEc: Add citation now
- Kocherlakota, N. (2003). Figuring Out The Impact of Hidden Savings on Optimal Unemployment Insurance. Working paper, Stanford University.
Paper not yet in RePEc: Add citation now
Kocherlakota, N. and L. Pistaferri (2007). Asset Pricing Implications of Pareto Optimality with Private Information. Working paper, University of Minnesota.
Kydland, F. E. and E. C. Prescott (1980). Dynamic Optimal Taxation, Rational Expectations and Optimal Control. Journal of Economic Dynamics and Control 2, 79–91.
- Liptser, R. S. and A. N. Shiryaev (2000). Statistics of Random Processes (Second ed.), Volume I. Berlin: Springer.
Paper not yet in RePEc: Add citation now
Meghir, C. and L. Pistaferri (2004). Income Variance Dynamics and Heterogeneity. Econometrica 72, 1–32.
- PERSISTENT PRIVATE INFORMATION 33 CvitanicÌ, J. and J. Zhang (2006). Optimal Compensation with Adverse Selection and Dynamic Actions. Working paper, Caltech.
Paper not yet in RePEc: Add citation now
Rogerson, W. P. (1985a). Repeated Moral Hazard. Econometrica 53, 69–76.
Rogerson, W. P. (1985b). The First-Order Approach to Principal-Agent Problems.
- Sannikov, Y. (2006). Agency Problems, Screening and Increasing Credit Lines. Working paper, UC Berkeley.
Paper not yet in RePEc: Add citation now
- Schattler, H. and J. Sung (1993). The First-Order Approach to the ContinuousTime Principal-Agent Problem with Exponential Utility. Journal of Economic Theory 61, 331–371.
Paper not yet in RePEc: Add citation now
Storesletten, K., C. I. Telmer, and A. Yaron (2004). Cyclical Dynamics in Idiosyncratic Labor Market Risk. Journal of Political Economy 112, 695–717.
- Tchistyi, A. (2006). Security Design with Correlated Hidden Cash Flows: The Optimality of Performance Pricing. Working paper, NYU Stern School of Business.
Paper not yet in RePEc: Add citation now
Thomas, J. and T. Worrall (1990). Income Fluctuation and Asymmetric Information: An Example of a Repeated Principal-Agent Problem. Journal of Economic Theory 51, 367–90.
- Werning, I. (2001). Optimal Unemployment Insurance with Unobservable Saving. Working paper, MIT.
Paper not yet in RePEc: Add citation now
- Williams, N. (2006). On Dynamic Principal-Agent Models in Continuous Time. Working paper, Princeton University.
Paper not yet in RePEc: Add citation now
- Yong, J. and X. Y. Zhou (1999). Stochastic Controls. New York: Springer-Verlag.
Paper not yet in RePEc: Add citation now
Zhang, Y. (2007). Dynamic Contracting with Persistent Shocks. Working paper, University of Iowa.
- Zhou, X. Y. (1996). Sufficient Conditions of Optimality for Stochastic Systems with Controllable Diffusions. IEEE Transactions on Automatic Control AC-41, 1176– 1179.
Paper not yet in RePEc: Add citation now