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

In this paper we study reduction by symmetry for optimality conditions in optimal control problems of left-invariant affine multi-agent control systems, with partial symmetry breaking cost functions. Our approach emphasizes the role of…

We consider a discrete-time model of a financial market where a risky asset is bought and sold with transactions having a transient price impact. It is shown that the corresponding utility maximization problem admits a solution. We manage…

In this technical note, we consider a collaborative learning framework with principal-agent setting, in which the principal at each time-step determines a set of appropriate aggregation coefficients based on how the current parameter…

This paper addresses the finite-time non-overshooting leader-following consensus problem for multi-agent systems, whose agents are modeled by a dynamical system topologically equivalent to the integrator chain. Based on the weighted…

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…

We consider the problem of maximising expected utility from terminal wealth in a semimartingale setting, where the semimartingale is written as a sum of a time-changed Brownian motion and a finite variation process. To solve this problem,…

We consider continuous-time heterogeneous agent models with recursive utility (Epstein-Zin utility) cast as mean field games, in which agents prefer late resolution of uncertainty. The model leads to a system coupling a pair of…

We formulate and study the infinite dimensional linear programming (LP) problem associated with the deterministic discrete time long-run average criterion optimal control problem. Along with its dual, this LP problem allows one to…

We introduce a formalism modelling communication of distributed agents strictly in continuous-time. Within this framework, we study the problem of synthesising local strategies for individual agents such that a specified set of goal states…

In the combinatorial action model of contract design, a principal delegates a complex project to an agent, incentivizing a subset of actions from a ground set of $n$ actions, via a linear contract. Computing the optimal contract is a…

We consider a contracting problem in which a principal hires an agent to manage a risky project. When the agent chooses volatility components of the output process and the principal observes the output continuously, the principal can…

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 studies the optimal points in the capacity region of Gaussian multiple access channels (GMACs) with constant fading, multiple antennas and various power constraints. The points of interest maximize general rate objectives that…

We study an intertemporal consumption and portfolio choice problem under Knightian uncertainty in which agent's preferences exhibit local intertemporal substitution. We also allow for market frictions in the sense that the pricing…

We investigate the problem of persistently monitoring a finite set of targets with internal states that evolve with linear stochastic dynamics using a finite set of mobile agents. We approach the problem from the infinite-horizon…

A fundamental theory of deterministic linear-quadratic (LQ) control is the equivalent relationship between control problems, two-point boundary value problems and Riccati equations. In this paper, we extend the equivalence to a general…

In this article we study a class of generalised linear systems of difference equations with given non-consistent initial conditions and infinite many solutions. We take into consideration the case that the coefficients are square constant…

We investigate the problem of optimally observing a finite set of targets using a mobile agent over an infinite time horizon. The agent is tasked to move in a network-constrained structure to gather information so as to minimize the…

In this paper, we consider a general time-inconsistent optimal control problem for a non homogeneous linear system, in which its state evolves according to a stochastic differential equation with deterministic coefficients, when the noise…

We study Bayesian automated mechanism design in unstructured dynamic environments, where a principal repeatedly interacts with an agent, and takes actions based on the strategic agent's report of the current state of the world. Both the…