Related papers: The Principal-Agent Problem; A Stochastic Maximum …
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex and the the variable control has two components, the first being absolutely continuous and the second singular. The system is…
We propose a distributionally robust principal agent formulation, which generalizes some common variants of worst-case and Bayesian principal agent problems. We construct a theoretical framework to certify whether any surjective contract…
The problem of computing near-optimal contracts in combinatorial settings has recently attracted significant interest in the computer science community. Previous work has provided a rich body of structural and algorithmic insights into this…
Model predictive control strategies require to solve in an sequential manner, many, possibly non-convex, optimization problems. In this work, we propose an interacting stochastic agent system to solve those problems. The agents evolve in…
We consider a principal-agent problem where the agent may privately choose to acquire relevant information prior to taking a hidden action. This model generalizes two special cases: a classic moral hazard setting, and a more recently…
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a series of first-order adjoint equations, we establish the…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
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…
In this paper, we study the optimal control of a discrete-time stochastic differential equation (SDE) of mean-field type, where the coefficients can depend on both a function of the law and the state of the process. We establish a new…
This paper investigates the asymptotic behavior of the solution to a linear-quadratic stochastic optimal control problems. The so-called probability cell problem is introduced the first time. It serves as the probability interpretation of…
Environments with fixed adjustment costs such as transaction costs or \lq menu costs\rq$ $ are widespread within economic systems. The presence of fixed minimal adjustment costs produces adjustment stickiness so that agents must choose a…
We study the fundamental problem of designing contracts in principal-agent problems under uncertainty. Previous works mostly addressed Bayesian settings in which principal's uncertainty is modeled as a probability distribution over agent's…
We study singular stochastic control of a two dimensional stochastic differential equation, where the first component is linear with random and unbounded coefficients. We derive existence of an optimal relaxed control and necessary…
We consider the stochastic optimal control problem for the dynamical system of the stochastic differential equation driven by a local martingale with a spatial parameter. Assuming the convexity of the control domain, we obtain the…
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introduce a discrete state constraints optimal control problem and…
We study a control problem where the state equation is a nonlinear partial differential equation of the calculus of variation in a bounded domain, perturbed by noise. We allow the control to act on the boundary and set stochastic boundary…
In this paper, we investigate a decentralized stochastic control problem with two agents, where a part of the memory of the second agent is also available to the first agent at each instance of time. We derive a structural form for optimal…
We study the principal-agent problem with a third party that we call social planner, whose responsibility is to reconcile the conflicts of interest between the two players and induce socially optimal outcome in terms of some given social…
In a framework close to the one developed by Holmstr\"om and Milgrom [44], we study the optimal contracting scheme between a Principal and several Agents. Each hired Agent is in charge of one project, and can make efforts towards managing…
We study the optimal control problem for a weighted mean-field system. A new feature of the control problem is that the coefficients depend on the state process as well as its weighted measure and the control variable. By applying…