Related papers: Continuous-time incentives in hierarchies
We study the optimal pricing strategy of a monopolist selling homogeneous goods to customers over multiple periods. The customers choose their time of purchase to maximize their payoff that depends on their valuation of the product, the…
Platform giants in China have operated with persistently compressed margins in highly concentrated markets for much of the past decade, despite market shares exceeding 60\% in core segments. Standard theory predicts otherwise: either the…
We study the combinatorial contracting problem of D\"utting et al. [FOCS '21], in which a principal seeks to incentivize an agent to take a set of costly actions. In their model, there is a binary outcome (the agent can succeed or fail),…
In a warehouse environment, tasks appear dynamically. Consequently, a task management system that matches them with the workforce too early (e.g., weeks in advance) is necessarily sub-optimal. Also, the rapidly increasing size of the action…
We consider a moral hazard problem with multiple principals in a continuous-time model. The agent can only work exclusively for one principal at a given time, so faces an optimal switching problem. Using a randomized formulation, we manage…
This paper studies a class of dynamic Stackelberg games under open-loop information structure with constrained linear agent dynamics and quadratic utility functions. We show two important properties for this class of dynamic Stackelberg…
We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…
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…
We analyze a continuous-time optimal trade execution problem in multiple assets where the price impact and the resilience can be matrix-valued stochastic processes that incorporate cross-impact effects. In addition, we allow for stochastic…
We study a finite horizon optimal contracting problem of a risk-neutral principal and a risk-averse agent who receives a stochastic income stream when the agent is unable to make commitments. The problem involves an infinite number of…
We study a multi-agent contracting problem where agents exert costly effort to achieve individually observable binary outcomes. While the principal can theoretically extract the full social welfare using a discriminatory contract that…
We investigate the performance of m-th order consensus systems with stochastic external perturbations, where a subset of leader nodes incorporates absolute information into their control laws. The system performance is measured by its…
We study linear contracts for combinatorial problems in multi-agent settings. In this problem, a principal designs a linear contract with several agents, each of whom can decide to take a costly action or not. The principal observes only…
Inductive biases influence the behavior and performance of sequential models. In this work, we study an underexplored inductive bias in sequential modeling: continuity in time. We ask a simple question: do models motivated by…
This paper addresses a continuous-time contracting model that extends the problem introduced by Sannikov and later rigorously analysed by Possama\"{i} and Touzi. In our model, a principal hires a risk-averse agent to carry out a project.…
We study the hidden-action principal-agent problem in an online setting. In each round, the principal posts a contract that specifies the payment to the agent based on each outcome. The agent then makes a strategic choice of action that…
We consider a contracting problem in which a principal hires an agent to manage a risky project. When the agent chooses volatility components of the output process and the principal observes the output continuously, the principal can…
We study the problem of designing an optimal sequence of incentives that a principal should offer to an agent so that the agent's optimal behavior under the incentives realizes the principal's objective expressed as a temporal logic…
The classic Vickrey-Clarke-Groves (VCG) mechanism ensures incentive compatibility, i.e., that truth-telling of all agents is a dominant strategy, for a static one-shot game. However, in a dynamic environment that unfolds over time, the…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…