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Mobility systems often suffer from a high price of anarchy due to the uncontrolled behavior of selfish users. This may result in societal costs that are significantly higher compared to what could be achieved by a centralized system-optimal…
We study optimal dynamic persuasion in a bandit experimentation model where a principal, unlike in standard settings, has a single-peaked preference over the agent's stopping time. This non-monotonic preference arises because maximizing the…
We consider the learning dynamics of a single reinforcement learning optimal execution trading agent when it interacts with an event driven agent-based financial market model. Trading takes place asynchronously through a matching engine in…
This paper studies continuous-time optimal contracting in a hierarchy problem which generalises the model of Sung (2015). The hierarchy is modeled by a series of interlinked principal-agent problems, leading to a sequence of Stackelberg…
We investigate the mechanism design problem faced by a principal who hires \emph{multiple} agents to gather and report costly information. Then, the principal exploits the information to make an informed decision. We model this problem as a…
This paper focuses on specific investments under negotiated transfer pricing. Reasons for transfer pricing studies are primarily to find conditions that maximize the firm's overall profit, especially in cases with bilateral trading problems…
Humans exhibit time-inconsistent behavior, in which planned actions diverge from executed actions. Understanding time inconsistency and designing appropriate interventions is a key research challenge in computer science and behavioral…
We consider an optimization problem in a given region $Q$ where an agent has to decide the price $p(x)$ of a product for every $x\in Q$. The customers know the pricing pattern $p$ and may shop at any place $y$, paying the cost $p(y)$ and…
This work suggests modifications to a previously introduced class of heterogeneous agent models that allow for the inclusion of different types of agent motivations and behaviours in a unified way. The agents operate within a highly…
We study a dynamic asset pricing problem in which a representative agent is ambiguous about the aggregate endowment growth rate and trades a risky stock, human capital, and a risk-free asset to maximize her preference value of consumption…
This paper studies the optimal mechanism to motivate effort in a dynamic principal-agent model without transfers. An agent is engaged in a task with uncertain future rewards and can quit at any time. The principal knows the reward and…
This paper studies a class of consensus dynamics where the interactions between agents are affected by a time-varying unknown scaling factor. This situation is encountered in the control of robotic fleets over a wireless network or in…
This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical…
We consider the classical mathematical economics problem of {\em Bayesian optimal mechanism design} where a principal aims to optimize expected revenue when allocating resources to self-interested agents with preferences drawn from a known…
We study an optimal extraction problem where the agent's actions in the spot market exert an additive proportional negative impact on the commodity price. The commodity price dynamics, prior to any activity by the agent, are evolved by a…
We introduce a new model of combinatorial contracts in which a principal delegates the execution of a costly task to an agent. To complete the task, the agent can take any subset of a given set of unobservable actions, each of which has an…
We study the fundamental problem of designing contracts in principal-agent problems under uncertainty. Previous works mostly addressed Bayesian settings in which principal's uncertainty is modeled as a probability distribution over agent's…
This study provides a formal analysis of the customer targeting problem when the cost for a marketing action depends on the customer response and proposes a framework to estimate the decision variables for campaign profit optimization.…
We consider an exchange who wishes to set suitable make-take fees to attract liquidity on its platform. Using a principal-agent approach, we are able to describe in quasi-explicit form the optimal contract to propose to a market maker. This…
This paper studies a risk-sensitive decision-making problem under uncertainty. It considers a decision-making process that unfolds over a fixed number of stages, in which a decision-maker chooses among multiple alternatives, some of which…