Related papers: Sequential optimal contracting in continuous time

We study linear contracts for combinatorial problems in multi-agent settings. In this problem, a principal designs a linear contract with several agents, each of whom can decide to take a costly action or not. The principal observes only…

In this paper we study continuous-time stochastic control problems with both monotone and classical controls motivated by the so-called public good contribution problem. That is the problem of n economic agents aiming to maximize their…

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…

We study optimal portfolio choice models in markets with partial information about the stock's drift. We solve the single agent problem for general utilities using a new approach that yields regularity of the value function and closed form…

Fairness is desirable yet challenging to achieve within multi-agent systems, especially when agents differ in latent traits that affect their abilities. This hidden heterogeneity often leads to unequal distributions of wealth, even when…

We study optimal reinsurance in the framework of stochastic game theory, in which there is an insurer and two reinsurers. A Stackelberg model is established to analyze the non-cooperative relationship between the insurer and reinsurers,…

We model the joint distribution of choice probabilities and decision times in binary choice tasks as the solution to a problem of optimal sequential sampling, where the agent is uncertain of the utility of each action and pays a constant…

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…

We study a robust contract design problem with deferred inspection, in which a principal allocates a scarce resource to an agent, observes the agent's realized outcome ex post at negligible cost, and conditions transfers on this information…

We initiate the study of online contracts, which integrate the game-theoretic considerations of economic contract theory, with the algorithmic and informational challenges of online algorithm design. Our starting point is the classic online…

In this paper, we take up the analysis of a principal/agent model with moral hazard introduced in [17], with optimal contracting between competitive investors and an impatient bank monitoring a pool of long-term loans subject to Markovian…

We study sequences, parametrized by the number of agents, of many agent exit time stochastic control problems with risk-sensitive cost structure. We identify a fully characterizing assumption, under which each of such control problem…

In this paper we study a time-inconsistent portfolio optimization problem for competitive agents with CARA utilities and non-exponential discounting. The utility of each agent depends on her own wealth and consumption as well as the…

We analyze a two-period principal-agent model in which the principal faces a budget constraint, and the agent's private costs of performing tasks across the two periods may be correlated. We examine the optimal design of the reward scheme…

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…

Game theory serves as a powerful tool for distributed optimization in multi-agent systems in different applications. In this paper we consider multi-agent systems that can be modeled by means of potential games whose potential function…

In this paper, we study a time-inconsistent stochastic optimal control problem with a recursive cost functional by a multi-person hierarchical differential game approach. An equilibrium strategy of this problem is constructed and a…

This paper investigates a robust incentive Stackelberg stochastic differential game problem for a linear-quadratic mean field system, where the model uncertainty appears in the drift term of the leader's state equation. Moreover, both the…

We use the recently developed probabilistic analysis of mean field games with finitely many states in the weak formulation, to set-up a principal / agent contract theory model where the principal faces a large population of agents…

We study multi-agent contract design, where a principal incentivizes a team of agents to take costly actions that jointly determine the project success via a combinatorial reward function. While prior work largely focuses on unconstrained…