Related papers: The Risk-Sharing problem under limited liability c…
In this paper we deal with the optimal bankruptcy problem for an agent who can optimally allocate her consumption rate, the amount of capital invested in the risky asset as well as her leisure time. In our framework, the agent is endowed by…
In this paper we consider multiple constrained resource allocation problems, where the constraints can be specified by formulating activity dependency restrictions or by using game-theoretic models. All the problems are focused on generic…
We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state dynamics, the forward-backward stochastic differential…
We present the single track road problem. In this problem two agents face each-other at opposite positions of a road that can only have one agent pass at a time. We focus on the scenario in which one agent is human, while the other is an…
In collective adaptive systems (CAS), adaptation can be implemented by optimization wrt. utility. Agents in a CAS may be self-interested, while their utilities may depend on other agents' choices. Independent optimization of agent utilities…
We study the problem of demand response contracts in electricity markets by quantifying the impact of considering a mean-field of consumers, whose consumption is impacted by a common noise. We formulate the problem as a Principal-Agent…
The expected utility operators introduced in a previous paper, offer a framework for a general risk aversion theory, in which risk is modelled by a fuzzy number $A$. In this paper we formulate a coinsurance problem in the possibilistic…
We investigate the probabilistic feasibility of randomized solutions to two distinct classes of uncertain multi-agent optimization programs. We first assume that only the constraints of the program are affected by uncertainty, while the…
This brief note considers the problem of learning with dynamic-optimizing principal-agent setting, in which the agents are allowed to have global perspectives about the learning process, i.e., the ability to view things according to their…
Many safety-critical real-world problems, such as autonomous driving and collaborative robots, are of a distributed multi-agent nature. To optimize the performance of these systems while ensuring safety, we can cast them as distributed…
In this paper we provide a theoretical analysis of Variable Annuities with a focus on the holder's right to an early termination of the contract. We obtain a rigorous pricing formula and the optimal exercise boundary for the surrender…
We analyze a two-period principal-agent model in which the principal faces a budget constraint, and the agent's private costs of performing tasks across the two periods may be correlated. We examine the optimal design of the reward scheme…
We study multi-agent contracts, in which a principal delegates a task to multiple agents and incentivizes them to exert effort. Prior research has mostly focused on maximizing the principal's utility, often resulting in highly disparate…
We study sequences, parametrized by the number of agents, of many agent exit time stochastic control problems with risk-sensitive cost structure. We identify a fully characterizing assumption, under which each of such control problem…
We study a cost sharing problem derived from bug bounty programs, where agents gain utility by the amount of time they get to enjoy the cost shared information. Once the information is provided to an agent, it cannot be retracted. The goal,…
We provide sufficient conditions for semi-nonparametric point identification of a mixture model of decision making under risk, when agents make choices in multiple lines of insurance coverage (contexts) by purchasing a bundle. As a first…
Principal-Agent (PA) problems describe a broad class of economic relationships characterized by misaligned incentives and asymmetric information. The Principal's problem is to find optimal incentives given the available information, e.g., a…
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…
The classic first-order approach (FOA) relaxes the principal-agent problem by replacing the incentive compatibility (IC) constraint with its first-order condition. We show that FOA is not a valid relaxation when the support of the outcome…
In this paper we present a variational calculus approach to Principal-Agent problem with a lump-sum payment on finite horizon in degenerate stochastic systems, such as filtered partially observed linear systems. Our work extends the…