Related papers: Risk-Limiting Dynamic Contracts for Direct Load Co…
Large electricity customers (e.g., large data centers) can exhibit huge and variable electricity demands, which poses significant challenges for the electricity suppliers to plan for sufficient capacity. Thus, it is desirable to design…
We propose a methodology that exploits the contract formalism to characterize the continuous-time safety control problem, which is often difficult to address, in terms of a discrete-time one, for which numerous efficient solution scheme…
This paper studies continuous-time optimal contracting in a hierarchy problem which generalises the model of Sung (2015). The hierarchy is modeled by a series of interlinked principal-agent problems, leading to a sequence of Stackelberg…
We present a continuous-time contract whereby a top-level player can incentivize a hierarchy of players below him to act in his best interest despite only observing the output of his direct subordinate. This paper extends Sannikov's…
What type of delegation contract should be offered when facing a risk of the magnitude of the pandemic we are currently experiencing and how does the likelihood of an exogenous early termination of the relationship modify the terms of a…
We consider a contracting problem in which a principal hires an agent to manage a risky project. When the agent chooses volatility components of the output process and the principal observes the output continuously, the principal can…
We study optimal contract design for large populations of heterogeneous agents whose actions generate network spillovers represented by an interaction function. In a linear-quadratic framework, we solve the finite-agent problem and its…
We consider the classic principal-agent model of contract theory, in which a principal designs an outcome-dependent compensation scheme to incentivize an agent to take a costly and unobservable action. When all of the model…
This work presents a methodology for forward electricity contract price projection based on market equilibrium and social welfare optimization. In the methodology supply and demand for forward contracts are produced in such a way that each…
This paper investigates the moral hazard problem in finite horizon with both continuous and lump-sum payments, involving a time-inconsistent sophisticated agent and a standard utility maximiser principal. Building upon the so-called dynamic…
We study a two-period moral hazard problem; there are two agents, with action sets that are unknown to the principal. The principal contracts with each agent sequentially, and seeks to maximize the worst-case discounted sum of payoffs,…
In this paper we present a dynamic programing approach to stochastic optimal control problems with dynamic, time-consistent risk constraints. Constrained stochastic optimal control problems, which naturally arise when one has to consider…
We study a general contracting problem between the principal and a finite set of competitive agents, who perform equivalent changes of measure by controlling the drift of the output process and the compensator of its associated jump…
This paper introduces assume/guarantee contracts on continuous-time control systems, hereby extending contract theories for discrete systems to certain new model classes and specifications. Contracts are regarded as formal characterizations…
We study the optimal contract problem in the \emph{combinatorial actions} framework of D\"utting et al.~[FOCS'21], where a principal delegates a project to an agent who chooses a subset of hidden, costly actions, and the resulting reward is…
This paper characterises optimal incentive schemes for ESG disclosure in a continuous-time principal-agent setting. We model a risk-averse principal (e.g., a platform or standard-setter) contracting with a team of heterogeneous agents whose…
This paper considers dynamic moral hazard settings, in which the consequences of the agent's actions are not precisely understood. In a new continuous-time moral hazard model with drift ambiguity, the agent's unobservable action translates…
In this paper, we investigate the charging scheduling optimization problem for large electric truck fleets operating with dedicated charging infrastructure. A central coordinator jointly determines the charging sequence and power allocation…
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…
Today's control systems are often characterized by modularity and safety requirements to handle complexity, resulting in hierarchical control structures. Although hierarchical model predictive control offers favorable properties, achieving…