Related papers: Dynamic programming approach to principal-agent pr…
Principal-agent problems model scenarios where a principal incentivizes an agent to take costly, unobservable actions through the provision of payments. Such problems are ubiquitous in several real-world applications, ranging from…
We introduce and study a computational version of the principal-agent problem -- a classic problem in Economics that arises when a principal desires to contract an agent to carry out some task, but has incomplete information about the agent…
We analyze conditional optimization problems arising in discrete time Principal-Agent problems of delegated portfolio optimization with linear contracts. Applying tools from Conditional Analysis we show that some results known in the…
We consider infinite horizon dynamic programming problems, where the control at each stage consists of several distinct decisions, each one made by one of several agents. In an earlier work we introduced a policy iteration algorithm, where…
The recent work by Cvitani\'c, Possama\"i, and Touzi (2018) [9] presents a general approach for continuous-time principal-agent problems, through dynamic programming and second-order backward stochastic differential equations (BSDEs). In…
We study a principal-agent team production model. The principal hires a team of agents to participate in a common production task. The exact effort of each agent is unobservable and unverifiable, but the total production outcome (e.g. the…
In this paper, we analyze dynamic programming as a novel approach to solve the problem of maximizing the profits of a bank. The mathematical model of the problem and the description of a bank's work is described in this paper. The problem…
This study addresses primal-dual dynamics for a stochastic programming problem for capacity network design. It is proven that consensus can be achieved on the \textit{here and now} variables which represent the capacity of the network. The…
We study a continuous time contracting model in which a principal hires a risk averse agent to manage a project over a finite horizon and provides sequential payments whose timing is endogenously determined. The resulting nonzero-sum…
We study principal-agent problems in which a principal commits to an outcome-dependent payment scheme (a.k.a. contract) so as to induce an agent to take a costly, unobservable action. We relax the assumption that the principal perfectly…
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…
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…
This paper investigates the moral hazard problem in finite horizon with both continuous and lump-sum payments, involving a time-inconsistent sophisticated agent and a standard utility maximiser principal. Building upon the so-called dynamic…
In this paper, we study one kind of stochastic recursive optimal control problem with the obstacle constraints for the cost function where the cost function is described by the solution of one reflected backward stochastic differential…
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…
We address the problem to control a population of noncooperative heterogeneous agents, each with convex cost function depending on the average population state, and all sharing a convex constraint, towards an aggregative equilibrium. We…
We propose an optimal solution to a deterministic dynamic assignment problem by leveraging connections to the theory of discrete optimal transport to convert the combinatorial assignment problem into a tractable linear program. We seek to…
This paper proposes a novel continuous-time dynamic contract framework that has a risk-limiting capability. If a principal and an agent enter into such a contract, the principal can optimally manage its performance and risk with a guarantee…
We study hidden-action principal-agent problems in which a principal commits to an outcome-dependent payment scheme (called contract) so as to incentivize the agent to take a costly, unobservable action leading to favorable outcomes. In…
A class of finite-state and discrete-time optimal control problems is introduced. The problems involve a large number of agents with independent dynamics, which interact through an aggregative term in the cost function. The problems are…