IDEAS home Printed from https://ideas.repec.org/a/spr/joptap/v205y2025i3d10.1007_s10957-025-02664-x.html
   My bibliography  Save this article

Agency Problem and Mean Field System of Agents with Moral Hazard, Synergistic Effects and Accidents

Author

Listed:
  • Thibaut Mastrolia

    (Department of Industrial Engineering and Operations Research)

  • Jiacheng Zhang

    (The Chinese University of Hong Kong Shatin)

Abstract

We investigate the existence of an optimal policy to monitor a mean field system of agents managing a risky project under moral hazard with accidents modeled by Lévy processes magnified by the law of the project. We provide a general method to find both a mean field equilibrium for the agents and the optimal compensation policy under general, sufficient and necessary assumptions on all the parameters. We formalize the problem as a bilevel optimization with the probabilistic version of a mean field games which can be reduced to a controlled McKean-Vlasov SDE with jumps. We apply our results to an optimal energy demand-response problem with a crowd of consumers subjected to power cut/shortage when the variability of the energy consumption is too high under endogenous or exogenous strains. In this example, we get explicit solution to the mean field game and to the McKean-Vlasov equation with jumps.

Suggested Citation

  • Thibaut Mastrolia & Jiacheng Zhang, 2025. "Agency Problem and Mean Field System of Agents with Moral Hazard, Synergistic Effects and Accidents," Journal of Optimization Theory and Applications, Springer, vol. 205(3), pages 1-32, June.
    • Handle: RePEc:spr:joptap:v:205:y:2025:i:3:d:10.1007_s10957-025-02664-x
    DOI: 10.1007/s10957-025-02664-x
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10957-025-02664-x
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s10957-025-02664-x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:joptap:v:205:y:2025:i:3:d:10.1007_s10957-025-02664-x. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.