Related papers: Optimal Selection of Transaction Costs in a Dynami…

In this paper, we consider a general distributed system with multiple agents who select and then implement actions in the system. The system has an operator with a centralized objective. The agents, on the other hand, are selfinterested and…

We consider Incentive Decision Processes, where a principal seeks to reduce its costs due to another agent's behavior, by offering incentives to the agent for alternate behavior. We focus on the case where a principal interacts with a…

We consider the problem of online learning of optimal control for repeatedly operated systems in the presence of parametric uncertainty. During each round of operation, environment selects system parameters according to a fixed but unknown…

An agent-based model for financial markets has to incorporate two aspects: decision making and price formation. We introduce a simple decision model and consider its implications in two different pricing schemes. First, we study its…

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 the classical principal-agent hidden-action contract model, a principal delegates the execution of a costly task to an agent. In order to complete the task, the agent chooses an action from a set of actions, where each potential action…

We consider a profit maximization problem in an urban mobility on-demand service, of which the operator owns a fleet, provides both exclusive and shared trip services, and dynamically determines prices of offers. With knowledge of the…

We study a setting in which a principal selects an agent to execute a collection of tasks according to a specified priority sequence. Agents, however, have their own individual priority sequences according to which they wish to execute the…

The problem of controlling multi-agent systems under different models of information sharing among agents has received significant attention in the recent literature. In this paper, we consider a setup where rather than committing to a…

We develop a dynamic multi-agent model of an interbank payment system where banks choose their level of available funds on the basis of private payoff maximisation. The model consists of the repetition of a simultaneous move stage game with…

Economic theory distinguishes between principal-agent settings in which the agent has a private type and settings in which the agent takes a hidden action. Many practical problems, however, involve aspects of both. For example, brand X may…

We theoretically and empirically study portfolio optimization under transaction costs and establish a link between turnover penalization and covariance shrinkage with the penalization governed by transaction costs. We show how the ex ante…

Present bias, the tendency to overvalue immediate rewards while undervaluing future ones, is a well-known barrier to achieving long-term goals. As artificial intelligence and behavioral economics increasingly focus on this phenomenon, the…

Tandem queueing systems are widely-used stochastic models that arise from many real-life service operations systems. Motivated by the desire to understand the trade-off between the performance and complexity of policies for…

Automated Market Makers (AMMs) are emerging as a popular decentralised trading platform. In this work, we determine the optimal dynamic fees in a constant function market maker. We find approximate closed-form solutions to the control…

We study principal-agent problems where a farsighted agent takes costly actions in an MDP. The core challenge in these settings is that agent's actions are hidden to the principal, who can only observe their outcomes, namely state…

Personalized pricing, which involves tailoring prices based on individual characteristics, is commonly used by firms to implement a consumer-specific pricing policy. In this process, buyers can also strategically manipulate their feature…

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…

We consider the problem of Adverse Selection and optimal derivative design within a Principal-Agent framework. The principal's income is exposed to non-hedgeable risk factors arising, for instance, from weather or climate phenomena. She…

We study optimal contract design for large populations of heterogeneous agents whose actions generate network spillovers represented by an interaction function. In a linear-quadratic framework, we solve the finite-agent problem and its…