Related papers: Sequential optimal contracting in continuous time
We introduce a new non-zero-sum game of optimal stopping with asymmetric exercise opportunities. Given a stochastic process modelling the value of an asset, one player observes and can act on the process continuously, while the other player…
Computational advertising has been studied to design efficient marketing strategies that maximize the number of acquired customers. In an increased competitive market, however, a market leader (a leader) requires the acquisition of new…
We study Stackelberg games where a principal repeatedly interacts with a non-myopic long-lived agent, without knowing the agent's payoff function. Although learning in Stackelberg games is well-understood when the agent is myopic, dealing…
We propose a novel independent and payoff-based learning framework for stochastic games that is model-free, game-agnostic, and gradient-free. The learning dynamics follow a best-response-type actor-critic architecture, where agents update…
We consider the non-linear optimal multiple stopping problem under general conditions on the non-linear evaluation operators, which might depend on two time indices: the time of evaluation/assessment and the horizon (when the reward or loss…
The existence of optimal contracts of the principal-agent problem is a long-standing problem. According to the general framework in Cvitani\'c et al. [2], this existence can be derived from the existence of a classical solution to a…
We consider optimal swarm control problems where two different classes of agents are present. Continuum idealizations of large-scale swarms are used where the dynamics describe the evolution of the spatially-distributed densities of each…
We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…
This work provides analysis of a variant of the Risk-Sharing Principal-Agent problem in a single period setting with additional constant lower and upper bounds on the wage paid to the Agent. First the effect of the extra constraints on…
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…
A large fraction of total healthcare expenditure occurs due to end-of-life (EOL) care, which means it is important to study the problem of more carefully incentivizing necessary versus unnecessary EOL care because this has the potential to…
This paper analyzes a class of Stackelberg games where different actors compete for shared resources and a central authority tries to balance the demand through a pricing mechanism. Situations like this can for instance occur when fleet…
We consider a class of dynamic collective choice models with social interactions, whereby a large number of non-uniform agents have to individually settle on one of multiple discrete alternative choices, with the relevance of their would-be…
The optimal control for mobile agents is an important and challenging issue. Recent work shows that using randomized mechanism in agents' control can make the state unpredictable, and thus improve the security of agents. However, the…
In this paper, we study the optimal stopping problem in the so-called exploratory framework, in which the agent takes actions randomly conditioning on current state and an entropy-regularized term is added to the reward functional. Such a…
We consider a model where an agent has a repeated decision to make and wishes to maximize their total payoff. Payoffs are influenced by an action taken by the agent, but also an unknown state of the world that evolves over time. Before…
We develop a variational approach to address risk-sensitive optimal control problems with an exponential-of-integral cost functional in a general linear-quadratic-Gaussian (LQG) single-agent setup, offering new insights into such problems.…
We study principal-agent problems where a farsighted agent takes costly actions in an MDP. The core challenge in these settings is that agent's actions are hidden to the principal, who can only observe their outcomes, namely state…
In this paper we provide a theoretical analysis of Variable Annuities with a focus on the holder's right to an early termination of the contract. We obtain a rigorous pricing formula and the optimal exercise boundary for the surrender…
Generalized from the concept of consensus, this paper considers a group of edge agreements, i.e. constraints defined for neighboring agents, in which each pair of neighboring agents is required to satisfy one edge agreement constraint. Edge…