Related papers: The Principal-Agent Problem With Time Inconsistent…

We study principal-agent problems in which a principal commits to an outcome-dependent payment scheme -- called contract -- in order to induce an agent to take a costly, unobservable action leading to favorable outcomes. We consider a…

Model predictive control offers a powerful framework for managing constrained systems, but its repeated online optimization can become computationally prohibitive. Multiparametric programming addresses this challenge by precomputing optimal…

In the large financial market, which is described by a model with countably many traded assets, we formulate the problem of the expected utility maximization. Assuming that the preferences of an economic agent are modeled with a stochastic…

This paper examines stochastic optimal control problems in which the state is perfectly known, but the controller's measure of time is a stochastic process derived from a strictly increasing L\'evy process. We provide dynamic programming…

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 establish a variety of results extending the well-known Pontryagin maximum principle of optimal control to discrete-time optimal control problems posed on smooth manifolds. These results are organized around a new theorem on critical and…

This paper studies multiobjective optimal control problems in the continuous-time framework when the space of states and the space of controls are infinite-dimensional and with lighter smoothness assumptions than the usual ones. The paper…

Time optimal control problems for some non-smooth systems in general form are considered. The non-smoothness is caused by singularity. It is proved that Pontryagin's maximum principle holds for at least one optimal relaxed control. Thus,…

I provide a sufficient condition under which a principal does not benefit from committing to a mechanism in economic models represented by a maximisation problem under constraints. These problems include mechanism design, principal-agent…

Recently, there has been a growing interest in developing inventory control policies which are robust to model misspecification. One approach is to posit that nature selects a worst-case distribution for any stochastic primitives from some…

Limited bandwidth and limited saturation in actuators are practical concerns in control systems. Mathematically, these limitations manifest as constraints being imposed on the control actions, their rates of change, and more generally, the…

We pursue an inverse approach to utility theory and consumption & investment problems. Instead of specifying an agent's utility function and deriving her actions, we assume we observe her actions (i.e. her consumption and investment…

We present a novel method for solving a class of time-inconsistent optimal stopping problems by reducing them to a family of standard stochastic optimal control problems. In particular, we convert an optimal stopping problem with a…

A multi-agent optimization problem motivated by the management of energy systems is discussed. The associated cost function is separable and convex although not necessarily strongly convex and there exist edge-based coupling equality…

In this paper, we introduce an optimal control problem for multi-agent systems with non-local cost which favors simultaneous aggregation of particles. This is done introducing a time-dependent notion of multiplicity whose intrinsic…

We study linear contracts for combinatorial problems in multi-agent settings. In this problem, a principal designs a linear contract with several agents, each of whom can decide to take a costly action or not. The principal observes only…

We study hidden-action principal-agent problems with multiple agents. These are problems in which a principal commits to an outcome-dependent payment scheme in order to incentivize some agents to take costly, unobservable actions that lead…

In this paper we study a class of time-inconsistent terminal Markovian control problems in discrete time subject to model uncertainty. We combine the concept of the sub-game perfect strategies with the adaptive robust stochastic to tackle…

For time inconsistent optimal control problems, a quite popular approach is the equilibrium approach, taken by the sophisticated agents. In this short note we construct a deterministic continuous time example where the unique equilibrium is…

We study the problem of maximising terminal utility for an agent facing model uncertainty, in a frictionless discrete-time market with one safe asset and finitely many risky assets. We show that an optimal investment strategy exists if the…