Related papers: Contracting with discretionary bonuses
We study two combinatorial contract design models -- multi-agent and multi-action -- where a principal delegates the execution of a costly project to others. In both settings, the principal cannot observe the choices of the agent(s), only…
We introduce a general framework for continuous-time betting markets, in which a bookmaker can dynamically control the prices of bets on outcomes of random events. In turn, the prices set by the bookmaker affect the rate or intensity of…
We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem, in which the decision maker uses a dynamic convex risk measure to evaluate future rewards. We also find a saddle point for an…
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…
Motivated by a number of real-world applications from domains like healthcare and sustainable transportation, in this paper we study a scenario of repeated principal-agent games within a multi-armed bandit (MAB) framework, where: the…
In this paper we provide an alternative framework to tackle the first-best Principal-Agent problem under CARA utilities. This framework leads to both a proof of existence and uniqueness of the solution to the Risk-Sharing problem under very…
We consider the mechanism design problem of a principal allocating a single good to one of several agents without monetary transfers. Each agent desires the good and uses it to create value for the principal. We designate this value as the…
We study hidden-action principal-agent problems with multiple agents. Unlike previous work, we consider a general setting in which each agent has an arbitrary number of actions, and the joint action induces outcomes according to an…
We consider the problem of creating assistants that can help agents solve new sequential decision problems, assuming the agent is not able to specify the reward function explicitly to the assistant. Instead of acting in place of the agent…
We propose and investigate a discrete-time mean field game model involving risk-averse agents. The model under study is a coupled system of dynamic programming equations with a Kolmogorov equation. The agents' risk aversion is modeled by…
In this paper we investigate a class of swing options with firm constraints in view of the modeling of supply agreements. We show, for a fully general payoff process, that the premium, solution to a stochastic control problem, is concave…
We study optimal dynamic persuasion in a bandit experimentation model where a principal, unlike in standard settings, has a single-peaked preference over the agent's stopping time. This non-monotonic preference arises because maximizing the…
We study discrete-time predictable forward processes when trading times do not coincide with performance evaluation times in a binomial tree model for the financial market. The key step in the construction of these processes is to solve a…
We investigate the problem of a principal looking to contract an expert to provide a probability forecast for a categorical event. We assume all experts have a common public prior on the event's probability, but can form more accurate…
In multi-agent reinforcement learning systems, the actions of one agent can have a negative impact on the rewards of other agents. One way to combat this problem is to let agents trade their rewards amongst each other. Motivated by this,…
Motivated by applications such as online labor markets we consider a variant of the stochastic multi-armed bandit problem where we have a collection of arms representing strategic agents with different performance characteristics. The…
This paper studies a central planner's decision making on behalf of a group of members with diverse discount rates. In the context of optimal stopping, we work with an aggregation preference to incorporate all discount rates via an attitude…
We consider an intermediary's problem of dynamically matching demand and supply of heterogeneous types in a periodic-review fashion. More specifically, there are two disjoint sets of demand and supply types, and a reward associated with…
We study sequential bargaining between a proposer and a veto player. Both have single-peaked preferences, but the proposer is uncertain about the veto player's ideal point. The proposer cannot commit to future proposals. When players are…
We consider a discrete-time dividend payout problem with risk sensitive shareholders. It is assumed that they are equipped with a risk aversion coefficient and construct their discounted payoff with the help of the exponential premium…