Related papers: An exit contract optimization problem
In the present paper we derive, via a backward induction technique, and ad hoc maximum principle for an optimal control problem with multiple random terminal times. Therefore we apply the aforementioned result to the case of a linear…
In this paper we consider impulse control of continuous time Markov processes with average cost per unit time functional. This problem is approximated using impulse control problems stopped at the first exit time from increasing sequence of…
We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a "disorder", assuming that the moment of a disorder is uniformly distributed on a finite interval. Optimal stopping rules are found as the…
We study causal optimal transport in continuous time, with Markovian cost, between a finite-state Markov source and a diffusion target. By replacing the source with its conditional law given the observation of the target, we characterize…
This paper considers the optimal control of time varying continuous time Markov chains whose transition rates are themselves Markov processes. In one set of problems the solution of an ordinary differential equation is shown to determine…
We introduce a novel model of contracts with combinatorial actions that accounts for sequential and adaptive agent behavior. As in the standard model, a principal delegates the execution of a costly project to an agent. There are $n$…
We consider a continuous time Principal-Agent model on a finite time horizon, where we look for the existence of an optimal contract both parties agreed on. Contrary to the main stream, where the principal is modelled as risk-neutral, we…
This paper investigates the moral hazard problem in finite horizon with both continuous and lump-sum payments, involving a time-inconsistent sophisticated agent and a standard utility maximiser principal. Building upon the so-called dynamic…
We study optimal liquidation of a trading position (so-called block order or meta-order) in a market with a linear temporary price impact (Kyle, 1985). We endogenize the pressure to liquidate by introducing a downward drift in the…
We consider the problem of computing the value and an optimal strategy for minimizing the expected termination time in one-counter Markov decision processes. Since the value may be irrational and an optimal strategy may be rather…
In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…
In this paper, we explore an optimal timing strategy for the trading of price spreads exhibiting mean-reverting characteristics. A sequential optimal stopping framework is formulated to analyze the optimal timings for both entering and…
In this paper, we formulate and solve a randomized optimal consensus problem for multi-agent systems with stochastically time-varying interconnection topology. The considered multi-agent system with a simple randomized iterating rule…
We investigate a singular-optimal stopping stochastic control problem driven by self-exciting dynamics governed by a Hawkes process. In the continuous-time setting, we show that the optimization problem reduces to solving a variational…
We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in which each agent observes the states of all other agents,…
We consider a general formulation of the random horizon Principal-Agent problem with a continuous payment and a lump-sum payment at termination. In the European version of the problem, the random horizon is chosen solely by the principal…
We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…
We study principal-agent problems in which a principal commits to an outcome-dependent payment scheme -- called contract -- in order to induce an agent to take a costly, unobservable action leading to favorable outcomes. We consider a…
This work studies the online contract design problem. The principal's goal is to learn the optimal contract that maximizes her utility through repeated interactions, without prior knowledge of the agent's type (i.e., the agent's cost and…
This paper studies a central planner's decision making on behalf of a group of members with diverse discount rates. In the context of optimal stopping, we work with an aggregation preference to incorporate all discount rates via an attitude…