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This paper studies a dynamic screening model in which a principal hires an agent with limited liability. The agent's private cost of working is an i.i.d. draw from a continuous distribution. His working status is publicly observable. The…
Traditional approaches to the design of multi-agent navigation algorithms consider the environment as a fixed constraint, despite the obvious influence of spatial constraints on agents' performance. Yet hand-designing improved environment…
In a decision-making scenario, a principal could use conditional predictions from an expert agent to inform their choice. However, this approach would introduce a fundamental conflict of interest. An agent optimizing for predictive accuracy…
Can a principal still offer optimal dynamic contracts that are linear in end-of-period outcomes when the agent controls a process that exhibits memory? We provide a positive answer by considering a general Gaussian setting where the output…
We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and…
We study a bilateral trade problem where a principal has private information that is revealed with delay, such as a seller who does not yet know her production cost. Postponing the contracting process incurs a costly delay, while early…
Following the recent literature on make take fees policies, we consider an exchange wishing to set a suitable contract with several market makers in order to improve trading quality on its platform. To do so, we use a principal-agent…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
Although behavioral economics has demonstrated that there are many situations where rational choice is a poor empirical model, it has so far failed to provide quantitative models of economic problems such as price formation. We make a step…
We consider a model where an agent has a repeated decision to make and wishes to maximize their total payoff. Payoffs are influenced by an action taken by the agent, but also an unknown state of the world that evolves over time. Before…
We are witnessing an increasing use of data-driven predictive models to inform decisions. As decisions have implications for individuals and society, there is increasing pressure on decision makers to be transparent about their decision…
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…
The coordinated and efficient distribution of limited resources by individual decisions is a fundamental, unsolved problem. When individuals compete for road capacities, time, space, money, goods, etc., they normally make decisions based on…
This work is motivated by our collaboration with a large consumer packaged goods (CPG) company. We have found that while the company appreciates the advantages of dynamic pricing, they deem it operationally much easier to plan out a static…
In the classical principal-agent problem, a principal must design a contract to incentivize an agent to perform an action on behalf of the principal. We study the classical principal-agent problem in a setting where the agent can be of one…
Linear contracts are ubiquitous in practice, yet optimal contract theory often prescribes complex, nonlinear structures. We provide a distributional robustness justification for linear contracts. We study a principal-agent problem where the…
We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a num\'eraire-based semi-static utility maximization problem with an exponential utility preference. The randomization…
We develop a mixed control framework that combines absolutely continuous controls with impulse interventions subject to stochastic execution delays. The model extends current impulse control formulations by allowing (i) the controller to…
We consider the principal-agent problem with heterogeneous agents. Previous works assume that the principal signs independent incentive contracts with every agent to make them invest more efforts on the tasks. However, in many…
Recent work has considered theoretical models for the behavior of agents with specific behavioral biases: rather than making decisions that optimize a given payoff function, the agent behaves inefficiently because its decisions suffer from…