Related papers: Random horizon principal-agent problems
Optimal stopping is the problem of determining when to stop a stochastic system in order to maximize reward, which is of practical importance in domains such as finance, operations management and healthcare. Existing methods for…
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…
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…
We consider both discrete and continuous "uncertain horizon" deterministic control processes, for which the termination time is a random variable. We examine the dynamic programming equations for the value function of such processes,…
This paper proposes a finite-horizon approximation scheme and introduces episodic equilibrium as a solution concept for stochastic games (SGs), where agents strategize based on the current state and episode stage. The paper also establishes…
In this paper, we study the necessary and sufficient conditions for ensuring the well-posedness of the stochastic singular systems. Moreover, we investigate the stochastic singular linear-quadratic control problems, considering both finite…
In this paper we provide an alternative framework to tackle the first-best Principal-Agent problem under CARA utilities. This framework leads to both a proof of existence and uniqueness of the solution to the Risk-Sharing problem under very…
We study the valuation of an American put option with a random time horizon given by the last exit time of the underlying asset from a fixed level. Since this random time is not a stopping time, the problem falls outside the classical…
Crowdsourcing markets have emerged as a popular platform for matching available workers with tasks to complete. The payment for a particular task is typically set by the task's requester, and may be adjusted based on the quality of the…
This paper studies social optimal control of mean field LQG (linear-quadratic-Gaussian) models with uncertainty. Specially, the uncertainty is represented by a uncertain drift which is common for all agents. A robust optimization approach…
We consider finite horizon Markov decision processes under performance measures that involve both the mean and the variance of the cumulative reward. We show that either randomized or history-based policies can improve performance. We prove…
We study deterministic optimal control problems for differential games with finite horizon. We propose new approximations of the strategies in feedback form, and show error estimates and a convergence result of the value in some weak sense…
In this article we consider the infinite-horizon Merton investment-consumption problem in a constant-parameter Black - Scholes - Merton market for an agent with constant relative risk aversion R. The classical primal approach is to write…
We investigate the portfolio execution problem under a framework in which volatility and liquidity are both uncertain. In our model, we assume that a multidimensional Markovian stochastic factor drives both of them. Moreover, we model…
In principal-agent models, a principal offers a contract to an agent to perform a certain task. The agent exerts a level of effort that maximizes her utility. The principal is oblivious to the agent's chosen level of effort, and conditions…
We consider the discrete time infinite horizon average reward restless markovian bandit (RMAB) problem. We propose a \emph{model predictive control} based non-stationary policy with a rolling computational horizon $\tau$. At each time-slot,…
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…
In this paper, we study the finite-horizon problem of an economic agent's optimal consumption, investment, and job-switching decisions. The key new feature of our model is that the job-switching cost is time-varying. This extension leads to…
In this paper, we consider a continuous-time mean-variance portfolio selection with regime-switching and random horizon. Unlike previous works, the dynamic of assets are described by non-Markovian regime-switching models in the sense that…
We give a new formulation of the relative arbitrage problem from stochastic portfolio theory that asks for a time horizon beyond which arbitrage relative to the market exists in all ``sufficiently volatile'' markets. In our formulation,…