Related papers: Optimal Selection of Transaction Costs in a Dynami…
This work considers a novel information design problem and studies how the craft of payoff-relevant environmental signals solely can influence the behaviors of intelligent agents. The agents' strategic interactions are captured by a Markov…
We introduce a simple benchmark model of dynamic matching in networked markets, where agents arrive and depart stochastically and the network of acceptable transactions among agents forms a random graph. We analyze our model from three…
In financial markets, agents often mutually influence each other's investment strategies and adjust their strategies to align with others. However, there is limited quantitative study of agents' investment strategies in such scenarios. In…
In this paper we investigate a new class of growth rate maximization problems based on impulse control strategies such that the average number of trades per time unit does not exceed a fixed level. Moreover, we include proportional…
Real-world applications of reinforcement learning for recommendation and experimentation faces a practical challenge: the relative reward of different bandit arms can evolve over the lifetime of the learning agent. To deal with these…
We consider a continuous time Principal-Agent model on a finite time horizon, where we look for the existence of an optimal contract both parties agreed on. Contrary to the main stream, where the principal is modelled as risk-neutral, we…
We study the problem of distributed task allocation in multi-agent systems. Suppose there is a collection of agents, a collection of tasks, and a demand vector, which specifies the number of agents required to perform each task. The goal of…
We consider a dynamic pricing problem where customer response to the current price is impacted by the customer price expectation, aka reference price. We study a simple and novel reference price mechanism where reference price is the…
An investor with constant relative risk aversion trades a safe and several risky assets with constant investment opportunities. For a small fixed transaction cost, levied on each trade regardless of its size, we explicitly determine the…
Two major financial market complexities are transaction costs and uncertain volatility, and we analyze their joint impact on the problem of portfolio optimization. When volatility is constant, the transaction costs optimal investment…
This article studies the problem of evaluating the information that a Principal lacks when establishing an incentive contract with an Agent whose effort is not observable. The Principal ("she") pays a continuous rent to the Agent ("he"),…
We model the joint distribution of choice probabilities and decision times in binary choice tasks as the solution to a problem of optimal sequential sampling, where the agent is uncertain of the utility of each action and pays a constant…
We study the incentivized information acquisition problem, where a principal hires an agent to gather information on her behalf. Such a problem is modeled as a Stackelberg game between the principal and the agent, where the principal…
Time-inconsistency is a characteristic of human behavior in which people plan for long-term benefits but take actions that differ from the plan due to conflicts with short-term benefits. Such time-inconsistent behavior is believed to be…
Many real-life contractual relations differ completely from the clean, static model at the heart of principal-agent theory. Typically, they involve repeated strategic interactions of the principal and agent, taking place under uncertainty…
We study a two-period moral hazard problem; there are two agents, with action sets that are unknown to the principal. The principal contracts with each agent sequentially, and seeks to maximize the worst-case discounted sum of payoffs,…
We study a dynamic model of Bayesian persuasion in sequential decision-making settings. An informed principal observes an external parameter of the world and advises an uninformed agent about actions to take over time. The agent takes…
We study a problem of optimal allocation in a discrete-time multi-period pure-exchange economy, where agents have preferences over stochastic endowment processes that are represented by strongly time-consistent dynamic risk measures. We…
A rational behavior of a consumer is analyzed when the user participates in a Peak Time Rebate (PTR) mechanism, which is a demand response (DR) incentive program based on a baseline. A multi-stage stochastic programming is proposed from the…
In this work, we study sequential contracts under matroid constraints. In the sequential setting, an agent can take actions one by one. After each action, the agent observes the stochastic value of the action and then decides which action…