相关论文: Broad Validity of the First-Order Approach in Mora…

The classic first-order approach (FOA) relaxes the principal-agent problem by replacing the incentive compatibility (IC) constraint with its first-order condition. We show that FOA is not a valid relaxation when the support of the outcome…

This work studies the online contract design problem. The principal's goal is to learn the optimal contract that maximizes her utility through repeated interactions, without prior knowledge of the agent's type (i.e., the agent's cost and…

We consider a contracting problem in which a principal hires an agent to manage a risky project. When the agent chooses volatility components of the output process and the principal observes the output continuously, the principal can…

Robust optimization (RO) has emerged as one of the leading paradigms to efficiently model parameter uncertainty. The recent connections between RO and problems in statistics and machine learning domains demand for solving RO problems in…

In a continuous-time setting where a risk-averse agent controls the drift of an output process driven by a Brownian motion, optimal contracts are linear in the terminal output; this result is well-known in a setting with moral hazard and…

We study a moral hazard problem with adverse selection: a risk-neutral agent can directly control the output distribution and possess private information about the production environment. The principal designs a menu of contracts satisfying…

This paper investigates Pareto optimal (PO, for short) insurance contracts in a behavioral finance framework, in which the insured evaluates contracts by the rank-dependent utility (RDU) theory and the insurer by the expected value premium…

In the classical principal-agent problem, a principal must design a contract to incentivize an agent to perform an action on behalf of the principal. We study the classical principal-agent problem in a setting where the agent can be of one…

We study a generic principal-agent problem in continuous time on a finite time horizon. We introduce a framework in which the agent is allowed to employ measure-valued controls and characterise the continuation utility as a solution to a…

We study a two-period moral hazard problem; there are two agents, with action sets that are unknown to the principal. The principal contracts with each agent sequentially, and seeks to maximize the worst-case discounted sum of payoffs,…

This paper investigates a Pareto optimal insurance problem, where the insured maximizes her rank-dependent utility preference and the insurer is risk neutral and employs the mean-variance premium principle. To eliminate potential moral…

Online resource allocation (ORA) is a fundamental framework for sequential decision-making problems under budget constraints, with applications ranging from online advertising to revenue management. In this work, we study a broader setting…

The study of first-order optimization algorithms (FOA) typically starts with assumptions on the objective functions, most commonly smoothness and strong convexity. These metrics are used to tune the hyperparameters of FOA. We introduce a…

We analyze worst-case convergence guarantees of first-order optimization methods over a function class extending that of smooth and convex functions. This class contains convex functions that admit a simple quadratic upper bound. Its study…

First-order methods (FOMs) have recently been applied and analyzed for solving problems with complicated functional constraints. Existing works show that FOMs for functional constrained problems have lower-order convergence rates than those…

I revisit the standard moral-hazard model, in which an agent's preference over contracts is rooted in costly effort choice. I characterise the behavioural content of the model in terms of empirically testable axioms, and show that the…

This paper investigates the moral hazard problem in finite horizon with both continuous and lump-sum payments, involving a time-inconsistent sophisticated agent and a standard utility maximiser principal. Building upon the so-called dynamic…

We examine the trade-off between the provision of incentives to exert costly effort (ex-ante moral hazard) and the incentives needed to prevent the agent from manipulating the profit observed by the principal (ex-post moral hazard).…

In this paper, we extend the Holmstro\"om and Milgrom problem [47] by adding uncertainty about the volatility of the output for both the Agent and the Principal. We study more precisely the impact of the "Nature" playing against the Agent…

First-order logic has been established as an important tool for modeling and verifying intricate systems such as distributed protocols and concurrent systems. These systems are parametric in the number of nodes in the network or the number…