Related papers: Optimal incentive scheme for ESG disclosure
In this paper, we study the problem of multiple stochastic agents interacting in a dynamic game scenario with continuous state and action spaces. We define a new notion of stochastic Nash equilibrium for boundedly rational agents, which we…
This paper introduces a decentralized multi-agent reinforcement learning framework enabling structurally heterogeneous teams of agents to jointly discover and acquire randomly located targets in environments characterized by partial…
We present a novel, game theoretic representation of a multi-agent prediction market using a partially observable stochastic game with information (POSGI). We then describe a correlated equilibrium (CE)-based solution strategy for this game…
In this paper, we explore an optimal timing strategy for the trading of price spreads exhibiting mean-reverting characteristics. A sequential optimal stopping framework is formulated to analyze the optimal timings for both entering and…
Sustainable Investing identifies the approach of investors whose aim is twofold: on the one hand, they want to achieve the best compromise between portfolio risk and return, but they also want to take into account the sustainability of…
We present a continuous-time contract whereby a top-level player can incentivize a hierarchy of players below him to act in his best interest despite only observing the output of his direct subordinate. This paper extends Sannikov's…
We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their production plus intraday purchases. They have continuously…
We construct an empirically founded model of a repo trade intermediated by two broker-dealers and prove multiple equilibrium and the existence of equilibrium at the joint profit maximizing volume of trade. We then present a smart contract…
We propose in this paper an optimal control framework for renewable energy communities (RECs) equipped with controllable assets. Such RECs allow its members to exchange production surplus through an internal market. The objective is to…
This work proposes a cooperative trading scheme for the robust optimal energy and reserve management in a multiple-microgrid (MMG) system comprising four microgrids (MGs). This scheme includes a robust optimization (RO) model which accounts…
This paper studies dynamic mechanism design in a quasilinear Markovian environment and analyzes a direct mechanism model of a principal-agent framework in which the agent is allowed to exit at any period. We consider that the agent's…
When deploying artificial agents in real-world environments where they interact with humans, it is crucial that their behavior is aligned with the values, social norms or other requirements of that environment. However, many environments…
We develop a continuous-time principal-agent model of gig work, where contractual flexibility allows the employer to adjust fixed pay and output-based incentives dynamically. The worker's participation depends on a backward-looking…
Auto-deleveraging (ADL) mechanisms are a critical yet understudied component of risk management on cryptocurrency futures exchanges. When available margin and other loss-absorbing resources are insufficient to cover losses following large…
We formulate and solve a finite horizon full balance sheet two-modes optimal switching problem related to trade-off strategies between expected profit and cost yields. Given the current mode, this model allows for either a switch to the…
The system operator's scheduling problem in electricity markets, called unit commitment, is a non-convex mixed-integer program. The optimal value function is non-convex, preventing the application of traditional marginal pricing theory to…
Multi-robot systems performing continuous tasks face a performance trade-off when interrupted by urgent, time-critical sub-tasks. We investigate this trade-off in a scenario where a team must balance area patrolling with locating an…
In recent decades, companies have frequently adopted share repurchase programs to return capital to shareholders or for other strategic purposes, instructing investment banks to rapidly buy back shares on their behalf. When the executing…
We study the linear-quadratic control problem for a class of non-exchangeable mean-field systems, which model large populations of heterogeneous interacting agents. We explicitly characterize the optimal control in terms of a new…
This study considers an optimal reinsurance, investment, and dividend strategy control problem for insurance companies in a regulated Markov regime-switching environment, intending to maximize long-run average reward. Unlike existing single…