Related papers: Continuous-time incentives in hierarchies
In the classical principal-agent hidden-action contract model, a principal delegates the execution of a costly task to an agent. In order to complete the task, the agent chooses an action from a set of actions, where each potential action…
We consider optimal swarm control problems where two different classes of agents are present. Continuum idealizations of large-scale swarms are used where the dynamics describe the evolution of the spatially-distributed densities of each…
In this paper, we study asynchronous consensus problems of continuous-time multi-agent systems with discontinuous information transmission. The proposed consensus control strategy is implemented only based on the state information at some…
This paper analyzes and explicitly solves a class of long-term average impulse control problems and a related class of singular control problems. The underlying process is a general one-dimensional diffusion with appropriate boundary…
We consider a model where an agent has a repeated decision to make and wishes to maximize their total payoff. Payoffs are influenced by an action taken by the agent, but also an unknown state of the world that evolves over time. Before…
The efficient use of available resources is a key factor in achieving success on both personal and organizational levels. One of the crucial resources in knowledge economy is time. The ability to force others to adapt to our schedule even…
We consider a finite-horizon discrete-time dynamic system jointly controlled by a designer and one or more agents, where the designer can influence the agents' actions through selective information disclosure. At each time step, the…
We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the…
Motivated by models of epidemic control in large populations, we consider a Stackelberg mean field game model between a principal and a mean field of agents evolving on a finite state space. The agents play a non-cooperative game in which…
We study the combinatorial contract design problem, introduced and studied by Dutting et. al. (2021, 2022), in both the single and multi-agent settings. Prior work has examined the problem when the principal's utility function is submodular…
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…
In a situation of moral hazard, this paper investigates the problem of Principal with $n$ Agents when the number of Agents $n$ goes to infinity. There is competition between the Agents expressed by the fact that they optimize their utility…
We investigate the stability and robustness properties of a continuification-based strategy for the control of large-scale multiagent systems. Within continuation-based strategy, one transforms the microscopic, agent-level description of…
This paper provides a complete review of the continuous-time optimal contracting problem introduced by Sannikov, in the extended context allowing for possibly different discount rates for both parties. The agent's problem is to seek for…
We study a ubiquitous learning challenge in online principal-agent problems during which the principal learns the agent's private information from the agent's revealed preferences in historical interactions. This paradigm includes important…
In this paper, we address three Principal--Agent problems in a moral hazard context and show that they are connected. We start by studying the problem of Principal with multiple Agents in cooperation. The term cooperation is manifested here…
We propose an actor-critic framework to solve the time-continuous stochastic optimal control problem. A least square temporal difference method is applied to compute the value function for the critic. The policy gradient method is…
We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…
Principal agent games are a growing area of research which focuses on the optimal behaviour of a principal and an agent, with the former contracting work from the latter, in return for providing a monetary award. While this field…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…