Related papers: The Limits of Limited Commitment
We consider an equity-linked contract whose payoff depends on the lifetime of policy holder and the stock price. We assume the limited capital for hedging and we provide with the best strategy for an insurance company in the meaning of so…
We consider a sequential decision-making problem where an agent can take one action at a time and each action has a stochastic temporal extent, i.e., a new action cannot be taken until the previous one is finished. Upon completion, the…
The coordinated and efficient distribution of limited resources by individual decisions is a fundamental, unsolved problem. When individuals compete for road capacities, time, space, money, goods, etc., they normally make decisions based on…
Stackelberg games (SGs) constitute the most fundamental and acclaimed models of strategic interactions involving some form of commitment. Moreover, they form the basis of more elaborate models of this kind, such as, e.g., Bayesian…
Stochastic games with discounted payoff, introduced by Shapley, model adversarial interactions in stochastic environments where two players try to optimize a discounted sum of rewards. In this model, long-term weights are geometrically…
We investigate a coordination model for a two-stage collective decision-making problem within the framework of global games. The agents observe noisy signals of a shared random variable, referred to as the fundamental, which determines the…
Long-term planning, as in reinforcement learning (RL), involves finding strategies: actions that collectively work toward a goal rather than individually optimizing their immediate outcomes. As part of a strategy, some actions are taken at…
This paper considers the problem of sequential empirical coordination, where the objective is to achieve a given value of the expected uniform deviation between state-action empirical averages and statistical expectations under a given…
This paper studies optimal contract design in private market investing, focusing on internal decision making in venture capital and private equity firms. A principal relies on an agent who privately exerts costly due diligence effort and…
The Stackelberg game depicts a leader-follower relationship wherein decisions are made sequentially, and the Stackelberg equilibrium represents an expected optimal solution when the leader can anticipate the rational response of the…
Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal payoff. Economic intuition suggests that…
Bounded agents are limited by intrinsic constraints on their ability to process information that is available in their sensors and memory and choose actions and memory updates. In this dissertation, we model these constraints as…
We study the piecewise stationary combinatorial semi-bandit problem with causally related rewards. In our nonstationary environment, variations in the base arms' distributions, causal relationships between rewards, or both, change the…
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 investigate the implementation of reduced-form allocation probabilities in a two-person bargaining problem without side payments, where the agents have to select one alternative from a finite set of social alternatives. We provide a…
Contract scheduling is a widely studied framework for designing real-time systems with interruptible capabilities. Previous work has showed that a prediction on the interruption time can help improve the performance of contract-based…
This work addresses competitive resource allocation in a sequential setting, where two players allocate resources across objects or locations of shared interest. Departing from the simultaneous Colonel Blotto game, our framework introduces…
There has been much recent interest in two-sided markets and dynamics thereof. In a rather a general discrete-time feedback model, which we show conditions that assure that for each agent, there exists the limit of a long-run average…
We introduce the concept of budget games. Players choose a set of tasks and each task has a certain demand on every resource in the game. Each resource has a budget. If the budget is not enough to satisfy the sum of all demands, it has to…
We propose a game-theoretic framework that incorporates both incomplete information and general ambiguity attitudes on factors external to all players. Our starting point is players' preferences on payoff-distribution vectors, essentially…