Related papers: The Principal-Agent Problem; A Stochastic Maximum …
We are considering the problem of optimal portfolio delegation between an investor and a portfolio manager under a random default time. We focus on a novel variation of the Principal-Agent problem adapted to this framework. We address the…
This paper studies optimal consensus tracking problem of heterogeneous linear multi-agent systems. By introducing tracking error dynamics, the optimal tracking problem is reformulated as finding a Nash-equilibrium solution of a multi-player…
This paper considers a network of agents, where each agent is assumed to take actions optimally with respect to a predefined payoff function involving the latest actions of the agent's neighbors. Neighborhood relationships stem from payoff…
In this study, we consider an optimal control problem driven by a stochastic differential equation with state constraints. Here, the state constraints mean the constraints about the path of state. In order to show the maximum principe for…
An agent-based model for firms' dynamics is developed. The model consists of firm agents with identical characteristic parameters and a bank agent. Dynamics of those agents is described by their balance sheets. Each firm tries to maximize…
Many safety-critical real-world problems, such as autonomous driving and collaborative robots, are of a distributed multi-agent nature. To optimize the performance of these systems while ensuring safety, we can cast them as distributed…
In the principal-agent problem formulated by Myerson'82, agents have private information (type) and make private decisions (action), both of which are unobservable to the principal. Myerson pointed out an elegant linear programming solution…
We consider stochastic model predictive control of a multi-agent systems with constraints on the probabilities of inter-agent collisions. We first study a sample-based approximation of the collision probabilities and use this approximation…
In this paper, we investigate a moral hazard problem in finite time with lump$-$sum and continuous payments, involving infinitely many Agents with mean field type interactions, hired by one Principal. By reinterpreting the mean$-$field game…
We consider a stochastic control problem, where the control domain is convex and the system is governed by a nonlinear backward stochastic differential equation. With a L1 terminal data, we derive necessary optimality conditions in the form…
We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…
This paper presents a method to approximately solve stochastic optimal control problems in which the cost function and the system dynamics are polynomial. For stochastic systems with polynomial dynamics, the moments of the state can be…
This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…
This paper is concerned with the relationship between maximum principle and dynamic programming principle for risk-sensitive stochastic optimal control problems. Under the smooth assumption of the value function, relations among the adjoint…
In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…
This work considers a repeated principal-agent bandit game, where the principal can only interact with her environment through the agent. The principal and the agent have misaligned objectives and the choice of action is only left to the…
In this paper, we study the relationship between general maximum principle and dynamic programming principle for risk-sensitive stochastic optimal control problems, where the control domain is not necessarily convex. The original problem is…
In this paper, we consider the stochastic optimal control problem for a generalized Volterra control system. The corresponding state process is a kind of a generalized stochastic Volterra integral differential equations. We prove the…
Traditional approaches to the design of multi-agent navigation algorithms consider the environment as a fixed constraint, despite the influence of spatial constraints on agents' performance. Yet hand-designing conducive environment layouts…
In this paper, we take up the analysis of a principal/agent model with moral hazard introduced in [17], with optimal contracting between competitive investors and an impatient bank monitoring a pool of long-term loans subject to Markovian…