Related papers: The Principal-Agent Problem With Time Inconsistent…
A time-inconsistent optimal control problem is formulated and studied for a controlled linear ordinary differential equation with quadratic cost functional. A notion of equilibrium control is introduced, which can be regarded as a…
Many real-life contractual relations differ completely from the clean, static model at the heart of principal-agent theory. Typically, they involve repeated strategic interactions of the principal and agent, taking place under uncertainty…
This brief note considers the problem of learning with dynamic-optimizing principal-agent setting, in which the agents are allowed to have global perspectives about the learning process, i.e., the ability to view things according to their…
Existing works on multi-agent time-varying optimization allow agents to asynchronously communicate and/or compute, but do not allow asynchronous sampling of objectives. Sampling can be difficult to synchronize, and we therefore present a…
This work provides analysis of a variant of the Risk-Sharing Principal-Agent problem in a single period setting with additional constant lower and upper bounds on the wage paid to the Agent. First the effect of the extra constraints on…
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…
We study the Pontryagin maximum principle by deriving necessary and sufficient conditions for a class of optimal control problems arising in non exchangeable mean field systems, where agents interact through heterogeneous and asymmetric…
We study utility maximization problem for general utility functions using dynamic programming approach. We consider an incomplete financial market model, where the dynamics of asset prices are described by an $R^d$-valued continuous…
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 introduce a novel model of contracts with combinatorial actions that accounts for sequential and adaptive agent behavior. As in the standard model, a principal delegates the execution of a costly project to an agent. There are $n$…
In classic principal-agent problems such as Stackelberg games, contract design, and Bayesian persuasion, the agent best responds to the principal's committed strategy. We study repeated generalized principal-agent problems under the…
In this paper, we consider finite-time state agreement problems for continuous-time multi-agent systems and propose two protocols, which ensure that states of agents reach an agreement in a finite time. Moreover, the second protocol solves…
This paper addresses the challenge of time-inconsistent stochastic control within a continuous-time framework. Its primary focus lies in uncovering a probabilistic representation, specifically in the shape of a system of backward stochastic…
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 paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
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…
We consider a general formulation of the random horizon Principal-Agent problem with a continuous payment and a lump-sum payment at termination. In the European version of the problem, the random horizon is chosen solely by the principal…
We present a Pontryagin maximum principle for discrete time optimal control problems with (a) pointwise constraints on the control actions and the states, (b) frequency constraints on the control and the state trajectories, and (c)…
We give a general formulation of the utility maximization problem under nondominated model uncertainty in discrete time and show that an optimal portfolio exists for any utility function that is bounded from above. In the unbounded case,…
In this paper, we consider the inverse optimal control problem for the discrete-time linear quadratic regulator, over finite-time horizons. Given observations of the optimal trajectories, and optimal control inputs, to a linear…