Finite-State Contract Theory with a Principal and a Field of Agents
Probability
2018-08-27 v1
Abstract
We use the recently developed probabilistic analysis of mean field games with finitely many states in the weak formulation, to set-up a principal / agent contract theory model where the principal faces a large population of agents interacting in a mean field manner. We reduce the problem to the optimal control of dynamics of the McKean-Vlasov type, and we solve this problem explicitly in a special case reminiscent of the linear - quadratic mean field game models. The paper concludes with a numerical example demonstrating the power of the results when applied to a simple example of epidemic containment.
Keywords
Cite
@article{arxiv.1808.07942,
title = {Finite-State Contract Theory with a Principal and a Field of Agents},
author = {Rene Carmona and Peiqi Wang},
journal= {arXiv preprint arXiv:1808.07942},
year = {2018}
}