相关论文: Contract theory in a VUCA world

We formulate a path-dependent stochastic optimal control problem under general conditions, for which weprove rigorously the dynamic programming principle and that the value function is the unique Crandall-Lions viscosity solution of the…

In classic principal-agent problems such as Stackelberg games, contract design, and Bayesian persuasion, the agent best responds to the principal's committed strategy. We study repeated generalized principal-agent problems under the…

We study a robust contract design problem with deferred inspection, in which a principal allocates a scarce resource to an agent, observes the agent's realized outcome ex post at negligible cost, and conditions transfers on this information…

We consider the problem of estimating the possibly non-convex cost of an agent by observing its interactions with a nonlinear, non-stationary and stochastic environment. For this inverse problem, we give a result that allows to estimate the…

We study a multi-agent contracting problem where agents exert costly effort to achieve individually observable binary outcomes. While the principal can theoretically extract the full social welfare using a discriminatory contract that…

This paper deals with a stochastic recursive optimal control problem, where the diffusion coefficient depends on the control variable and the control domain is not necessarily convex. We focus on the connection between the general maximum…

The problem of order execution is cast as a relative entropy-regularized robust optimal control problem in this article. The order execution agent's goal is to maximize an objective functional associated with his profit-and-loss of trading…

We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility of the stocks in the portfolio. We use the martingale…

We investigate Kantian equilibria in finite normal form games, a class of non-Nashian, morally motivated courses of action that was recently proposed in the economics literature. We highlight a number of problems with such equilibria,…

Combinatorial contracts are emerging as a key paradigm in algorithmic contract design, paralleling the role of combinatorial auctions in algorithmic mechanism design. In this paper we study natural combinatorial contract settings involving…

In this article, a notion of viscosity solutions is introduced for second order path-dependent Hamilton-Jacobi-Bellman (PHJB) equations associated with optimal control problems for path-dependent stochastic differential equations. We…

This paper examines mean field linear-quadratic-Gaussian (LQG) social optimum control with volatility-uncertain common noise. The diffusion terms in the dynamics of agents contain an unknown volatility process driven by a common noise. We…

We consider a class of stochastic control problems where the state process is a probability measure-valued process satisfying an additional martingale condition on its dynamics, called measure-valued martingales (MVMs). We establish the…

We study an exit contract design problem, where one provides a universal exit contract to multiple heterogeneous agents, with which each agent chooses an optimal (exit) stopping time. The problem consists in optimizing the universal exit…

We study a model of moral hazard with heterogeneous beliefs where each of agent's actions gives rise to a pair of probability distributions over output levels, one representing the beliefs of the agent and the other those of the principal.…

We present a first approximation of agent behaviour in a generalized model in contract theory. This model relaxes some of the the assumptions of one of the classical models allowing to include a broader range of agents. We introduce the…

In this paper, we study the relationship between general maximum principle and dynamic programming principle for risk-sensitive stochastic optimal control problems, where the control domain is not necessarily convex. The original problem is…

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…

This paper explores the capacity of artificial intelligence (AI) algorithms to autonomously design incentive-compatible contracts in dual-principal-agent settings, a relatively unexplored aspect of algorithmic mechanism design. We develop a…

We study a multi-agent contract design problem with moral hazard. In our model, each agent exerts costly effort towards an individual task at which it may either succeed or fail, and the principal, who wishes to encourage effort, has an…