Related papers: Sequential optimal contracting in continuous time

All-pay auctions, a common mechanism for various human and agent interactions, suffers, like many other mechanisms, from the possibility of players' failure to participate in the auction. We model such failures, and fully characterize…

This paper proposes a novel continuous-time dynamic contract framework that has a risk-limiting capability. If a principal and an agent enter into such a contract, the principal can optimally manage its performance and risk with a guarantee…

While the success of large language models (LLMs) increases demand for machine-generated text, current pay-per-token pricing schemes create a misalignment of incentives known in economics as moral hazard: Text-generating agents have strong…

We study a multi-agent contracting problem where agents exert costly effort to achieve individually observable binary outcomes. While the principal can theoretically extract the full social welfare using a discriminatory contract that…

In this paper, we introduce an optimal control problem for multi-agent systems with non-local cost which favors simultaneous aggregation of particles. This is done introducing a time-dependent notion of multiplicity whose intrinsic…

We consider the problem of maximizing portfolio value when an agent has a subjective view on asset value which differs from the traded market price. The agent's trades will have a price impact which affect the price at which the asset is…

We study a dynamic contracting problem with multiple agents and limited commitment. A principal seeks to screen efficient agents using one-period contracts, but is tempted to revise contract terms upon knowing an agent's type. Alterations…

In repeated games, such as auctions, players rely on autonomous learning agents to choose their actions. We study settings in which players have their agents make monetary transfers to other agents during play at their own expense, in order…

Sequential allocation is a simple and widely studied mechanism to allocate indivisible items in turns to agents according to a pre-specified picking sequence of agents. At each turn, the current agent in the picking sequence picks its most…

Learning heuristics for combinatorial optimization problems through graph neural networks have recently shown promising results on some classic NP-hard problems. These are single-level optimization problems with only one player. Multilevel…

We propose a generalization of the Bass diffusion model in discrete-time that explicitly models the effect of price in adoption. Our model is different from earlier price-incorporated models and fits well to adoption data for various…

We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are…

This paper studies contracting in the presence of externalities with a non-contractible outsider. Multiple equilibria arise from strategic symmetry between the insider agent and the outsider. To address strategic uncertainty, the principal…

We consider a Stackelberg game in which a principal (she) establishes a two-stage contract with a non-myopic agent (he) whose type is unknown. The contract takes the form of an incentive function mapping the agent's first-stage action to…

We introduce a mean field game with rank-based reward: competing agents optimize their effort to achieve a goal, are ranked according to their completion time, and paid a reward based on their relative rank. First, we propose a tractable…

This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…

We propose a two-layer stochastic game model to study reinsurance contracting and competition in a market with one insurer and two competing reinsurers. The insurer negotiates with both reinsurers simultaneously for proportional reinsurance…

Stochastic games have become a prevalent framework for studying long-term multi-agent interactions, especially in the context of multi-agent reinforcement learning. In this work, we comprehensively investigate the concept of constant-memory…

This paper is concerned with a two-person zero-sum indefinite stochastic linear-quadratic Stackelberg differential game with asymmetric informational uncertainties, where both the leader and follower face different and unknown disturbances.…

In this paper, we examine the stationary relaxed singular control problem within a multi-dimensional framework for a single agent, as well as its mean field game equivalent. We demonstrate that optimal relaxed controls exist for two problem…