相关论文: The Principal-Agent Problem With Time Inconsistent…

Humans exhibit time-inconsistent behavior, in which planned actions diverge from executed actions. Understanding time inconsistency and designing appropriate interventions is a key research challenge in computer science and behavioral…

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…

In this paper, we consider a varying terminal time structure for the stochastic optimal control problem under state constraints, in which the terminal time varies with the mean value of the state. In this new stochastic optimal control…

We introduce an infinite-horizon, continuous-time portfolio selection problem faced by an agent with periodic S-shaped preference and present bias. The inclusion of a quasi-hyperbolic discount function leads to time-inconsistency and we…

On the ground of origins of the theory of Lie groups and Lie algebras, their (co)adjoint representations, and the Pontryagin maximum principle for the time-optimal problem are given an independent foundation for methods of geodesic vector…

This paper is concerned with a nonparametric regression problem in which the input variables and the errors are autocorrelated in time. The motivation for the research stems from modeling wind power curves. Using existing model selection…

This paper focuses on optimal control problem for a class of discrete-time nonlinear systems. In practical applications, computation time is a crucial consideration when solving nonlinear optimal control problems, especially under real-time…

We consider a general time-inconsistent stochastic linear-quadratic differential game. The time-inconsistency arises from the presence of quadratic terms of the expected state as well as state-dependent term in the objective functionals. We…

This paper studies distributed continuous-time optimization for time-varying quadratic cost functions with uncertain parameters. We first propose a centralized adaptive optimization algorithm using partial information of the cost function.…

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…

Recent theoretical results establish that time-consistent valuations (i.e. pricing operators) can be created by backward iteration of one-period valuations. In this paper we investigate the continuous-time limits of well-known actuarial…

Under non-exponential discounting, we develop a dynamic theory for stopping problems in continuous time. Our framework covers discount functions that induce decreasing impatience. Due to the inherent time inconsistency, we look for…

In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…

Algorithms that solve zero-sum games, multi-objective agent objectives, or, more generally, variational inequality (VI) problems are notoriously unstable on general problems. Owing to the increasing need for solving such problems in machine…

This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…

We consider a dynamic moral hazard problem between a principal and an agent, where the sole instrument the principal has to incentivize the agent is the disclosure of information. The principal aims at maximizing the (discounted) number of…

In this paper we consider the problem of minimizing a quadratic functional for a discrete-time linear stochastic system with multiplicative noise, on a standard probability space, in infinite time horizon. We show that the necessary and…

We propose solution of the problem of the mean square optimal estimation of linear functionals which depend on the unobserved values of a continuous time stochastic process with periodically correlated increments based on observations of…

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…

We investigate an infinite-horizon time-inconsistent mean-field game (MFG) in a discrete time setting. We first present a classic equilibrium for the MFG and its associated existence result. This classic equilibrium aligns with the…