Related papers: Gaussian Agency problems with memory and Linear Co…
Environments with fixed adjustment costs such as transaction costs or \lq menu costs\rq$ $ are widespread within economic systems. The presence of fixed minimal adjustment costs produces adjustment stickiness so that agents must choose a…
We introduce an agent-based model of delegation relationships between a principal and an agent, which is based on the standard-hidden action model introduced by Holmstr\"om and, by doing so, provide a model which can be used to further…
This paper studies continuous-time optimal contracting in a hierarchy problem which generalises the model of Sung (2015). The hierarchy is modeled by a series of interlinked principal-agent problems, leading to a sequence of Stackelberg…
We initiate the study of computing (near-)optimal contracts in succinctly representable principal-agent settings. Here optimality means maximizing the principal's expected payoff over all incentive-compatible contracts---known in economics…
In a framework close to the one developed by Holmstr\"om and Milgrom [44], we study the optimal contracting scheme between a Principal and several Agents. Each hired Agent is in charge of one project, and can make efforts towards managing…
Real-world applications of reinforcement learning for recommendation and experimentation faces a practical challenge: the relative reward of different bandit arms can evolve over the lifetime of the learning agent. To deal with these…
The recent work by Cvitani\'c, Possama\"i, and Touzi (2018) [9] presents a general approach for continuous-time principal-agent problems, through dynamic programming and second-order backward stochastic differential equations (BSDEs). In…
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…
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…
The exploration-exploitation trade-off is among the central challenges of reinforcement learning. The optimal Bayesian solution is intractable in general. This paper studies to what extent analytic statements about optimal learning are…
We study a Bayesian persuasion problem with externalities. In this model, a principal sends signals to inform multiple agents about the state of the world. Simultaneously, due to the existence of externalities in the agents' utilities, the…
This paper studies optimal consensus tracking problem of heterogeneous linear multi-agent systems. By introducing tracking error dynamics, the optimal tracking problem is reformulated as finding a Nash-equilibrium solution of a multi-player…
We study hidden-action principal-agent problems with multiple agents. These are problems in which a principal commits to an outcome-dependent payment scheme in order to incentivize some agents to take costly, unobservable actions that lead…
We propose to study electricity capacity remuneration mechanism design through a Principal-Agent approach. The Principal represents the aggregation of electricity consumers (or a representative entity), subject to the physical risk of…
Due to its state-of-the-art estimation performance complemented by rigorous and non-conservative uncertainty bounds, Gaussian process regression is a popular tool for enhancing dynamical system models and coping with their inaccuracies.…
In a continuous-time setting where a risk-averse agent controls the drift of an output process driven by a Brownian motion, optimal contracts are linear in the terminal output; this result is well-known in a setting with moral hazard and…
We study a variant of the principal-agent problem in which the principal does not directly observe the agent's effort outcome; rather, she gets a signal about the agent's action according to a variable information structure designed by a…
The problem of computing near-optimal contracts in combinatorial settings has recently attracted significant interest in the computer science community. Previous work has provided a rich body of structural and algorithmic insights into this…
In this paper, we investigate a moral hazard problem in finite time with lump$-$sum and continuous payments, involving infinitely many Agents with mean field type interactions, hired by one Principal. By reinterpreting the mean$-$field game…
We study a continuous time contracting model in which a principal hires a risk averse agent to manage a project over a finite horizon and provides sequential payments whose timing is endogenously determined. The resulting nonzero-sum…