Related papers: A Note on the Multi-Agent Contracts in Continuous …
Under non-exponential discounting, we develop a dynamic theory for stopping problems in continuous time. Our framework covers discount functions that induce decreasing impatience. Due to the inherent time inconsistency, we look for…
This paper aims to design a distributed coordination algorithm for solving a multi-agent decision problem with a hierarchical structure. The primary goal is to search the Nash equilibrium of a noncooperative game such that each player has…
We study sequential decision-making when the agent's internal model class is misspecified. Within the infinite-horizon Berk-Nash framework, stable behavior arises as a fixed point: the agent acts optimally relative to a subjective model,…
We study a simple continuous-time multi-agent system related to Krause's model of opinion dynamics: each agent holds a real value, and this value is continuously attracted by every other value differing from it by less than 1, with an…
We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…
We propose a new approach to solving dynamic decision problems with rewards that are unbounded below. The approach involves transforming the Bellman equation in order to convert an unbounded problem into a bounded one. The major advantage…
Automated design of multi-agent interactions with desirable equilibrium outcomes is inherently difficult due to the computational hardness, non-uniqueness, and instability of the resulting equilibria. In this work, we propose the use of…
Auto-bidding has become a cornerstone of modern online advertising platforms, enabling many advertisers to automate bidding at scale and optimize campaign performance. However, prevailing industrial systems rely on single-agent auto-bidding…
We consider a system of single- or double integrator agents playing a generalized Nash game over a network, in a partial-information scenario. We address the generalized Nash equilibrium seeking problem by designing a fully-distributed…
We consider a dynamic portfolio optimization problem that incorporates predictable returns, instantaneous transaction costs, price impact, and stochastic volatility, extending the classical results of Garleanu and Pedersen (2013), which…
This paper studies the decentralized online convex optimization problem for heterogeneous linear multi-agent systems. Agents have access to their time-varying local cost functions related to their own outputs, and there are also…
We consider a moral hazard problem with multiple principals in a continuous-time model. The agent can only work exclusively for one principal at a given time, so faces an optimal switching problem. Using a randomized formulation, we manage…
Correlated equilibria arise naturally when agents communicate or rely on intermediaries such as recommendation systems. We study when a given Nash equilibrium can be improved within the set of correlated equilibria for general objectives.…
We study the classic principal-agent model when the signal observed by the principal is chosen by the agent. We fully characterize the optimal information structure from an agent's perspective in a general moral hazard setting with limited…
This paper characterizes differentiable and subgame Markov perfect equilibria in a continuous time intertemporal decision problem with non-constant discounting. Capturing the idea of non commitment by letting the commitment period being…
In this paper, which is a continuation of the previously published discrete time paper we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a…
To regulate a social system comprised of self-interested agents, economic incentives are often required to induce a desirable outcome. This incentive design problem naturally possesses a bilevel structure, in which a designer modifies the…
Multi-agent planning under stochastic dynamics is usually formalised using decentralized (partially observable) Markov decision processes ( MDPs) and reachability or expected reward specifications. In this paper, we propose a different…
We develop a theory for continuous-time non-Markovian stochastic control problems which are inherently time-inconsistent. Their distinguishing feature is that the classical Bellman optimality principle no longer holds. Our formulation is…
The problem of computing near-optimal contracts in combinatorial settings has recently attracted significant interest in the computer science community. Previous work has provided a rich body of structural and algorithmic insights into this…