I study the optimal choice of investment projects in a continuous time moral hazard model with multitasking. While in the first best, projects are invariably chosen by the net present value (NPV) criterion, moral hazard introduces a cutoff for project selection which depends on both a...

In dynamic models driven by diffusion processes, the smoothness of the value function plays a crucial role for characterizing properties of the solution. However, available methods to ensure such smoothness have limited applicability in economics, and economists have often relied on either...

We prove that under standard Lipschitz and growth conditions, the value function of all optimal control problems for one-dimensional diffusions is twice continuously differentiable, as long as the control space is compact and the volatility is uniformly bounded below, away from zero. Under...

I study the optimal choice of investment projects in a continuous-time moral hazard model with multitasking. While in the first best, projects are invariably chosen by the net present value (NPV) criterion, moral hazard introduces a cutoff for project selection which depends on both a project's...

We develop in this paper a systematic study of the stochastic dominance ordering in spaces of measures. We collect and present in an orderly fashion, results that are spread out in the Applied Probability and Mathematical Economics literature, and extend most of them to a somewhat broader...