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

This article contributes to a framework for a computational indirect method based on the Pontryagin maximum principle to efficiently solve a class of state constrained time-optimal control problems in the presence of a time-dependent flow…

This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…

The main objective of this paper is to develop a martingale-type solution to optimal consumption--investment choice problems ([Merton, 1969] and [Merton, 1971]) under time-varying incomplete preferences driven by externalities such as…

In this paper, we consider a leader-following consensus problem for networks of continuous-time integrator agents with a time-varying leader under measurement noises. We propose a neighbor-based state-estimation protocol for every agent to…

This article studies the problem of evaluating the information that a Principal lacks when establishing an incentive contract with an Agent whose effort is not observable. The Principal ("she") pays a continuous rent to the Agent ("he"),…

We introduce here new generalized principal eigenvalues for linear parabolic operators with heterogeneous coefficients in space and time. We consider a bounded spatial domain and an unbounded time interval $I$ : $I=\mathbb{R},\…

This paper provides a complete review of the continuous-time optimal contracting problem introduced by Sannikov, in the extended context allowing for possibly different discount rates for both parties. The agent's problem is to seek for…

In this paper, we derive first-order Pontryagin optimality conditions for risk-averse stochastic optimal control problems subject to final time inequality constraints, and whose costs are general, possibly non-smooth finite coherent risk…

We introduce a class of robust control problems formulated in min-max form, in which the principal agent is viewed as a central planner facing Nature. The agent's cost is a nonlinear function of all its possible realizations, encompassing…

This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are…

Solving an output consensus problem in multi-agent systems is often hindered by multiple time-variant delays. To address such fundamental problems over time, we present a new optimal time-variant distributed control for linearly perturbed…

The non-consensus problems of high order linear time-invariant dynamical homogeneous multi-agent systems are concerned. Based on the conditions of consensus achievement, the mechanisms that lead to non-consensus motions are analyzed.…

We address the Merton problem of maximizing the expected utility of terminal wealth using techniques from variational analysis. Under a general continuous semimartingale market model with stochastic parameters, we obtain a characterization…

This paper provides necessary conditions of optimality for optimal control problems with time delays in both state and control variables. Different versions of the necessary conditions cover fixed end-time problems and, under additional…

The increasing deployment of AI is shaping the future landscape of the internet, which is set to become an integrated ecosystem of AI agents. Orchestrating the interaction among AI agents necessitates decentralized, self-sustaining…

We consider a stochastic optimal control problem in a market model with temporary and permanent price impact, which is related to an expected utility maximization problem under finite fuel constraint. We establish the initial condition…

Time inconsistency is prevalent in dynamic choice problems: a plan of actions to be taken in the future that is optimal for an agent today may not be optimal for the same agent in the future. If the agent is aware of this intra-personal…

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…

It is shown that the structure of general equilibrium incomplete market models is intrinsically self-consistent and time-interlaced, with mean field interactions that are only implicit and also endogenous. Novel mathematical tools that can…

We consider an incomplete market with a nontradable stochastic factor and a continuous time investment problem with an optimality criterion based on monotone mean-variance preferences. We formulate it as a stochastic differential game…