Related papers: The Principal-Agent Problem With Time Inconsistent…
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 continuous-time setting where a risk-averse agent controls the drift of an output process driven by a Brownian motion, optimal contracts are linear in the terminal output; this result is well-known in a setting with moral hazard and…
Time-varying optimization problems are central to many engineering applications, where performance metrics and system constraints evolve dynamically with time. Several algorithms have been proposed to address these problems; a common…
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 proposes a method to design an optimal dynamic contract between a principal and an agent, who has the authority to control both the principal's revenue and an engineered system. The key characteristic of our problem setting is…
A new class of multi agent single machine scheduling problems is introduced, where each job is associated with a self interested agent with a utility function decreasing in completion time. We aim to achieve a fair solution by maximizing…
The Gaussian process bandit is a problem in which we want to find a maximizer of a black-box function with the minimum number of function evaluations. If the black-box function varies with time, then time-varying Bayesian optimization is a…
We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the…
This paper examines mean field linear-quadratic-Gaussian (LQG) social optimum control with volatility-uncertain common noise. The diffusion terms in the dynamics of agents contain an unknown volatility process driven by a common noise. We…
We study the time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations with potentially indefinite cost weighting matrices for both the state and the control variables. Our research…
The paper [12] examines a concept of equilibrium policies instead of optimal controls in stochastic optimization to analyze a mean-variance portfolio selection problem. We follow the same approach in order to investigate the Merton…
Merton portfolio management problem is studied in this paper within a stochastic volatility, non constant time discount rate, and power utility framework. This problem is time inconsistent and the way out of this predicament is to consider…
We propose an actor-critic framework to solve the time-continuous stochastic optimal control problem. A least square temporal difference method is applied to compute the value function for the critic. The policy gradient method is…
This paper studies the problem of output agreement in networks of nonlinear dynamical systems under time-varying disturbances. Necessary and sufficient conditions for output agreement are derived for the class of incrementally passive…
We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…
We use the recently developed probabilistic analysis of mean field games with finitely many states in the weak formulation, to set-up a principal / agent contract theory model where the principal faces a large population of agents…
We study a bilevel \emph{max-max} optimization framework for principal-agent contract design, in which a principal chooses incentives to maximize utility while anticipating the agent's best response. This problem, central to moral hazard…
We consider numerical resolution of principal-agent (PA) problems in continuous time. We formulate a generic PA model with continuous and lump payments and a multi-dimensional strategy of the agent. To tackle the resulting…
In this article, we employ a principal-agent model to analyze optimal contract design in a monopolistic reinsurance market under adverse selection with a continuum of insurer types. Instead of using the classical expected utility framework,…
In this paper, we derive a version of the Pontryagin maximum principle for general finite-dimensional nonlinear optimal sampled-data control problems. Our framework is actually much more general, and we treat optimal control problems for…