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Stochastic Programming Perspective on the Agency Problems Under Uncertainty

In: Managing Safety of Heterogeneous Systems

Author

Listed:
  • Alexei A. Gaivoronski

    (Norwegian University of Science and Technology)

  • Adrian Werner

    (SINTEF Technology and Society)

Abstract

We study the application of the stochastic programming framework to the analysis of complex agency problems under exogenous and endogenous uncertainty, presenting several models that deal with different types of such uncertainty. We demonstrate that the utilization of this framework extends the possibilities for the definition of parameters of incentive schedules. In this paper, we often refer to a model in a telecommunication environment consisting of a regulator (principal) and a service provider (agent) and study different aspects of regulation and licensing. However, the results can easily be generalized to other principal agent relationships.

Suggested Citation

  • Alexei A. Gaivoronski & Adrian Werner, 2012. "Stochastic Programming Perspective on the Agency Problems Under Uncertainty," Lecture Notes in Economics and Mathematical Systems, in: Yuri Ermoliev & Marek Makowski & Kurt Marti (ed.), Managing Safety of Heterogeneous Systems, edition 127, pages 137-167, Springer.
    • Handle: RePEc:spr:lnechp:978-3-642-22884-1_7
    DOI: 10.1007/978-3-642-22884-1_7
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    Cited by:

    1. Claus, Matthias, 2022. "Existence of solutions for a class of bilevel stochastic linear programs," European Journal of Operational Research, Elsevier, vol. 299(2), pages 542-549.

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