Related papers: Principal-Multiagents problem under equivalent cha…
We study hidden-action principal-agent problems with multiple agents. Unlike previous work, we consider a general setting in which each agent has an arbitrary number of actions, and the joint action induces outcomes according to an…
Crowdsourcing markets have emerged as a popular platform for matching available workers with tasks to complete. The payment for a particular task is typically set by the task's requester, and may be adjusted based on the quality of the…
In this technical note, we consider a collaborative learning framework with principal-agent setting, in which the principal at each time-step determines a set of appropriate aggregation coefficients based on how the current parameter…
In a Markovian framework, we consider the problem of finding the minimal initial value of a controlled process allowing to reach a stochastic target with a given level of expected loss. This question arises typically in approximate hedging…
Consider a multi-agent systems setup in which a principal (a supervisor agent) assigns subtasks to specialized agents and aggregates their responses into a single system-level output. A core property of such systems is information…
In this paper, we extend the Holmstro\"om and Milgrom problem [47] by adding uncertainty about the volatility of the output for both the Agent and the Principal. We study more precisely the impact of the "Nature" playing against the Agent…
Traditional approaches to the design of multi-agent navigation algorithms consider the environment as a fixed constraint, despite the influence of spatial constraints on agents' performance. Yet hand-designing conducive environment layouts…
I provide a sufficient condition under which a principal does not benefit from committing to a mechanism in economic models represented by a maximisation problem under constraints. These problems include mechanism design, principal-agent…
In this paper, we present a generalization of the certainty equivalence principle of stochastic control. One interpretation of the classical certainty equivalence principle for linear systems with output feedback and quadratic costs is as…
Firms have access to abundant data on market participants. They use these data to target contracts to agents with specific characteristics, and describe these contracts in opaque terms. In response to such practices, recent proposed…
We study a natural application of contract design in the context of sequential exploration problems. In our principal-agent setting, a search task is delegated to an agent. The agent performs a sequential exploration of $n$ boxes, suffers…
This paper explores the capacity of artificial intelligence (AI) algorithms to autonomously design incentive-compatible contracts in dual-principal-agent settings, a relatively unexplored aspect of algorithmic mechanism design. We develop a…
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…
We consider a stochastic optimal control problem in a market model with temporary and permanent price impact, which is related to an expected utility maximization problem under finite fuel constraint. We establish the initial condition…
We investigate the existence of an optimal policy to monitor a mean field systems of agents managing a risky project under moral hazard with accidents modeled by L\'evy processes magnified by the law of the project. We provide a general…
The principle of optimality is a fundamental aspect of dynamic programming, which states that the optimal solution to a dynamic optimization problem can be found by combining the optimal solutions to its sub-problems. While this principle…
A fundamental problem in risk management is the robust aggregation of different sources of risk in a situation where little or no data are available to infer information about their dependencies. A popular approach to solving this problem…
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.…
This paper deals with a stochastic recursive optimal control problem, where the diffusion coefficient depends on the control variable and the control domain is not necessarily convex. We focus on the connection between the general maximum…
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…