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This paper examines stochastic optimal control problems in which the state is perfectly known, but the controller's measure of time is a stochastic process derived from a strictly increasing L\'evy process. We provide dynamic programming…
Dynamic contracts with multiple agents is a classical decentralized decision-making problem with asymmetric information. In this paper, we extend the single-agent dynamic incentive contract model in continuous-time to a multi-agent scheme…
We study a generic principal-agent problem in continuous time on a finite time horizon. We introduce a framework in which the agent is allowed to employ measure-valued controls and characterise the continuation utility as a solution to a…
This paper is concerned with a time-inconsistent recursive stochastic control problems where the forward state process is constrained through an additional recursive utility system. By adapting the Ekeland variational principle, necessary…
This paper studies the optimal output-feedback control of a linear time-invariant system where a stochastic event-based scheduler triggers the communication between the sensor and the controller. The primary goal of the use of this type of…
We propose and analyze a framework for discrete-time robust mean-field control problems under common noise uncertainty. In this framework, the mean-field interaction describes the collective behavior of infinitely many cooperative agents'…
This paper investigates the efficiency loss in social cost caused by strategic bidding behavior of individual participants in a supply-demand balancing market, and proposes a mechanism to fully recover equilibrium social optimum via…
The decisions that human beings make to allocate time has significant bearing on economic output and to the sustenance of social networks. The time allocation problem motivates our formal analysis of the resource allocation game, where…
We present a strategy-proof public goods budgeting mechanism where agents determine both the total volume of expanses and the specific allocation. It is constructed as a modification of VCG to a less typical environment, namely where we do…
We study causal optimal transport in continuous time, with Markovian cost, between a finite-state Markov source and a diffusion target. By replacing the source with its conditional law given the observation of the target, we characterize…
The public goods game is a model of a society investing some assets and regaining a profit, although can also model biological populations. In the classic public goods game only two strategies compete: either cooperate or defect; a third…
Consider the problem of a government that wants to reduce the debt-to-GDP (gross domestic product) ratio of a country. The government aims at choosing a debt reduction policy which minimises the total expected cost of having debt, plus the…
Classical deterministic optimal control problems assume full information about the controlled process. The theory of control for general partially-observable processes is powerful, but the methods are computationally expensive and typically…
The paper proposes a new stochastic intervention control model conducted in various commodity and stock markets. The essence of the phenomenon of intervention is described in accordance with current economic theory. A review of papers on…
In this paper we deal with stochastic optimization problems where the data distributions change in response to the decision variables. Traditionally, the study of optimization problems with decision-dependent distributions has assumed…
In this paper, a Nash-type fictitious game framework is introduced to handle a time-inconsistent linear-quadratic optimal control. The Nash-type game in this framework is called fictitious as it is between the decision maker (called real…
This paper considers the control of uncertain systems that are operated under limited resource factors, such as battery life or hardware longevity. We consider here resource-aware self-triggered control techniques that schedule system…
Building upon the results in [Hinterm\"uller et al., SIAM J. Optim, '15], generalized Nash equilibrium problems are considered, in which the feasible set of each player is influenced by the decisions of their competitors. This is realized…
Motivated by the scarcity of accurate payoff feedback in practical applications of game theory, we examine a class of learning dynamics where players adjust their choices based on past payoff observations that are subject to noise and…
We consider the problem of optimally controlling stochastic, Markovian systems subject to joint chance constraints over a finite-time horizon. For such problems, standard Dynamic Programming is inapplicable due to the time correlation of…