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This paper addresses the finite-time non-overshooting leader-following consensus problem for multi-agent systems, whose agents are modeled by a dynamical system topologically equivalent to the integrator chain. Based on the weighted…
The main contributions of this paper are three fold. First, our primary concern is to investigate a class of stochastic recursive delayed control problems which arise naturally with sound backgrounds but have not been well-studied yet. For…
We consider a unifying framework for stochastic control problem including the following features: partial observation, path-dependence (both with respect to the state and the control), and without any non-degeneracy condition on the…
This work is focused on the solvability of initial-boundary value problems for degenerate parabolic partial differential equations that arise in the pricing of Asian options, and on the investigation of differential and certain qualitative…
In recent years, individual-based/agent-based modeling has been applied to study a wide range of applications, ranging from engineering problems to phenomena in sociology, economics and biology. Simulating such agent-based models over…
Principal-agent problems arise when one party acts on behalf of another, leading to conflicts of interest. The economic literature has extensively studied principal-agent problems, and recent work has extended this to more complex scenarios…
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…
The existence of a (partial) market equilibrium price is proved in a complete, continuous time finite-agent market setting. The economic agents act as price takers in a fully competitive setting and maximize exponential utility from…
We propose and compare new global solution algorithms for continuous time heterogeneous agent economies with aggregate shocks. First, we approximate the agent distribution so that equilibrium in the economy can be characterized by a high,…
This paper is concerned with a kind of linear-quadratic (LQ) optimal control problem of backward stochastic differential equation (BSDE) with partial information. The cost functional includes cross terms between the state and control, and…
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…
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…
This work develops a fully decentralized multi-agent algorithm for policy evaluation. The proposed scheme can be applied to two distinct scenarios. In the first scenario, a collection of agents have distinct datasets gathered following…
This work considers a repeated principal-agent bandit game, where the principal can only interact with her environment through the agent. The principal and the agent have misaligned objectives and the choice of action is only left to the…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
In classic principal-agent problems such as Stackelberg games, contract design, and Bayesian persuasion, the agent best responds to the principal's committed strategy. We study repeated generalized principal-agent problems under the…
This paper studies the problem of safe and optimal continuum deformation of a large-scale multi-agent system (MAS). We present a novel approach for MAS continuum deformation coordination that aims to achieve safe and efficient agent…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
We consider cooperative multi-agent resource sharing problems over time-varying communication networks, where only local communications are allowed. The objective is to minimize the sum of agent-specific composite convex functions subject…
In this paper, we study a distributed optimization problem for a class of high-order multi-agent systems with unknown dynamics. In comparison with existing results for integrators or linear agents, we need to overcome the difficulties…