Related papers: Sequential optimal contracting in continuous time

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In this paper, we consider the problem of a Principal aiming at designing a reward function for a population of heterogeneous agents. We construct an incentive based on the ranking of the agents, so that a competition among the latter is…

In many multi-player interactions, players incur strictly positive costs each time they execute actions e.g. 'menu costs' or transaction costs in financial systems. Since acting at each available opportunity would accumulate prohibitively…

Through a stochastic control theoretic approach, we analyze reputation games where a strategic long-lived player acts in a sequential repeated game against a collection of short-lived players. The key assumption in our model is that the…

We study an optimal stopping problem with an unbounded, time-dependent and discontinuous reward function. This problem is motivated by the pricing of a variable annuity contract with guaranteed minimum maturity benefit, under the assumption…

We analyze the optimal delegation problem between a principal and an agent, assuming that the latter has state-independent preferences. We demonstrate that if the principal is more risk-averse than the agent toward non-status quo options,…

We introduce a class of learning problems where the agent is presented with a series of tasks. Intuitively, if there is relation among those tasks, then the information gained during execution of one task has value for the execution of…

Contract theory studies how a principal can incentivize agents to exert costly, unobservable effort through performance-based payments. While classical economic models provide elegant characterizations of optimal solutions, modern…

We study the problem of agent selection in causal strategic learning under multiple decision makers and address two key challenges that come with it. Firstly, while much of prior work focuses on studying a fixed pool of agents that remains…

The consensus control with optimal cost remains major challenging although consensus control problems have been well studied in recent years. In this paper, we study the consensus control of multi-agent system associated with a given cost…

This paper focuses on the role of a government of a large population of interacting agents as a mean field optimal control problem derived from deterministic finite agent dynamics. The control problems are constrained by a PDE of…

We study continuous time Bertrand oligopolies in which a small number of firms producing similar goods compete with one another by setting prices. We first analyze a static version of this game in order to better understand the strategies…

In cooperative stochastic games multiple agents work towards learning joint optimal actions in an unknown environment to achieve a common goal. In many real-world applications, however, constraints are often imposed on the actions that can…

An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…

We study the design of optimal incentives in sequential processes. To do so, we consider a basic and fundamental model in which an agent initiates a value-creating sequential process through costly investment with random success. If…

We study the optimal design of electricity contracts among a population of consumers with different needs. This question is tackled within the framework of Principal-Agent problems in presence of adverse selection. The particular features…

In this work, we introduce and study contextual search in general principal-agent games, where a principal repeatedly interacts with agents by offering contracts based on contextual information and historical feedback, without knowing the…

Under non-exponential discounting, we develop a dynamic theory for stopping problems in continuous time. Our framework covers discount functions that induce decreasing impatience. Due to the inherent time inconsistency, we look for…

We consider a stochastic differential equation that is controlled by means of an additive finite-variation process. A singular stochastic controller, who is a minimizer, determines this finite-variation process, while a discretionary…

We study a portfolio optimization problem for competitive agents with CRRA utilities and a common finite time horizon. The utility of an agent depends not only on her absolute wealth and consumption but also on her relative wealth and…