相关论文: Dynamic optimal contract under parameter uncertain…

This paper examines the optimal contracts in a two-dimensional screening model where one dimension(group identity) is verifiable by agents but not falsifiable. A principal offers contracts to agents who differ in cost types and group…

In this paper, we consider a risk-averse decision problem for controlled-diffusion processes, with dynamic risk measures, in which multiple risk-averse agents choose their decisions in such a way to minimize their individual accumulated…

Following the recent literature on make take fees policies, we consider an exchange wishing to set a suitable contract with several market makers in order to improve trading quality on its platform. To do so, we use a principal-agent…

We study the optimal contract problem in the \emph{combinatorial actions} framework of D\"utting et al.~[FOCS'21], where a principal delegates a project to an agent who chooses a subset of hidden, costly actions, and the resulting reward is…

Despite the success of demand response programs in retail electricity markets in reducing average consumption, the random responsiveness of consumers to price event makes their efficiency questionable to achieve the flexibility needed for…

We study the tradeoff between fundamental risk and time. A time-constrained agent has to solve a problem. She dynamically allocates effort between implementing a risky initial idea and exploring alternatives. Discovering an alternative…

A principal funds a multistage project and retains the right to cut the funding if it stagnates at some point. An agent wants to convince the principal to fund the project as long as possible, and can design the flow of information about…

We study an optimal stopping problem with an unbounded, time-dependent and discontinuous reward function. This problem is motivated by the pricing of a variable annuity contract with guaranteed minimum maturity benefit, under the assumption…

We investigate the problem of optimally observing a finite set of targets using a mobile agent over an infinite time horizon. The agent is tasked to move in a network-constrained structure to gather information so as to minimize the…

We study a dynamic asset pricing problem in which a representative agent is ambiguous about the aggregate endowment growth rate and trades a risky stock, human capital, and a risk-free asset to maximize her preference value of consumption…

In this work we study the individual strategies carried out by agents undergoing transactions in wealth exchange models. We analyze the role of risk propensity in the behavior of the agents and find a critical risk, such that agents with…

We study a risk-averse optimal control problem for a finite-horizon Borel model, where a cumulative cost is assessed via exponential utility. The setting permits non-linear dynamics, non-quadratic costs, and continuous state and control…

We examine hypothesis testing within a principal-agent framework, where a strategic agent, holding private beliefs about the effectiveness of a product, submits data to a principal who decides on approval. The principal employs a hypothesis…

We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambiguity in model specification and in preferences and…

We study a screening problem in which an agent privately observes a set of feasible technologies and can strategically disclose only a subset to the principal. The principal then takes an action whose payoff consequences for both players…

Opinion dynamics is nowadays a very common field of research. In this article we formulate and then study a novel, namely strategic perspective on such dynamics: There are the usual normal agents that update their opinions, for instance…

We consider infinite horizon dynamic programming problems, where the control at each stage consists of several distinct decisions, each one made by one of several agents. In an earlier work we introduced a policy iteration algorithm, where…

Modeling the purposeful behavior of imperfect agents from a small number of observations is a challenging task. When restricted to the single-agent decision-theoretic setting, inverse optimal control techniques assume that observed behavior…

We investigate the mechanism design problem faced by a principal who hires \emph{multiple} agents to gather and report costly information. Then, the principal exploits the information to make an informed decision. We model this problem as a…

In this paper we study the optimization problem of an economic agent who chooses a job and the time of retirement as well as consumption and portfolio of assets. The agent is constrained in the ability to borrow against future income. We…