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Dynamic programming approach to principal–agent problems

Citations

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Cited by:

  1. Thibaut Mastrolia & Dylan Possamaï, 2018. "Moral Hazard Under Ambiguity," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 452-500, November.
  2. Alexander Aurell & René Carmona & Gökçe Dayanıklı & Mathieu Laurière, 2022. "Finite State Graphon Games with Applications to Epidemics," Dynamic Games and Applications, Springer, vol. 12(1), pages 49-81, March.
  3. Sarah Bensalem & Nicolás Hernández-Santibáñez & Nabil Kazi-Tani, 2023. "A continuous-time model of self-protection," Finance and Stochastics, Springer, vol. 27(2), pages 503-537, April.
  4. Qi Luo & Romesh Saigal, 2020. "Dynamic Multiagent Incentive Contracts: Existence, Uniqueness, and Implementation," Mathematics, MDPI, vol. 9(1), pages 1-17, December.
  5. Ren'e Aid & Dylan Possamai & Nizar Touzi, 2018. "Optimal electricity demand response contracting with responsiveness incentives," Papers 1810.09063, arXiv.org, revised May 2019.
  6. Guichen Gao & Xinxin Han & Li Ning & Hing-Fung Ting & Yong Zhang, 2022. "Principal–agent problem under the linear contract," Journal of Combinatorial Optimization, Springer, vol. 44(4), pages 2286-2301, November.
  7. Eduardo Abi Jaber & Stéphane Villeneuve, 2025. "Gaussian agency problems with memory and linear contracts," Finance and Stochastics, Springer, vol. 29(1), pages 143-176, January.
  8. Romuald Élie & Emma Hubert & Thibaut Mastrolia & Dylan Possamaï, 2021. "Mean–field moral hazard for optimal energy demand response management," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 399-473, January.
  9. Hu, Ying & Tang, Shanjian & Wang, Falei, 2022. "Quadratic G-BSDEs with convex generators and unbounded terminal conditions," Stochastic Processes and their Applications, Elsevier, vol. 153(C), pages 363-390.
  10. Martin Dumav, 2021. "Moral Hazard, Dynamic Incentives, and Ambiguous Perceptions," Papers 2110.15229, arXiv.org.
  11. Luo, Qi & Saigal, Romesh & Chen, Zhibin & Yin, Yafeng, 2019. "Accelerating the adoption of automated vehicles by subsidies: A dynamic games approach," Transportation Research Part B: Methodological, Elsevier, vol. 129(C), pages 226-243.
  12. Jessica Martin, 2021. "A BSDE with default jump and unbounded terminal value arising in a Principal-Agent context," Working Papers hal-03106006, HAL.
  13. Nicolás Hernández Santibáñez & Dylan Possamaï & Chao Zhou, 2020. "Bank Monitoring Incentives Under Moral Hazard and Adverse Selection," Journal of Optimization Theory and Applications, Springer, vol. 184(3), pages 988-1035, March.
  14. Eduardo Abi Jaber & Stéphane Villeneuve, 2022. "Gaussian Agency problems with memory and Linear Contracts," Post-Print hal-03783062, HAL.
  15. Jean-Paul Décamps & Stéphane Villeneuve, 2019. "A two-dimensional control problem arising from dynamic contracting theory," Finance and Stochastics, Springer, vol. 23(1), pages 1-28, January.
  16. Villeneuve, Stéphane & Abi Jaber, Eduardo, 2022. "Gaussian Agency problems with memory and Linear Contracts," TSE Working Papers 22-1363, Toulouse School of Economics (TSE).
  17. Martin, Jessica & Villeneuve, Stéphane, 2021. "A Class of Explicit optimal contracts in the face of shutdown," TSE Working Papers 21-1183, Toulouse School of Economics (TSE), revised Apr 2022.
  18. Romuald Elie & Emma Hubert & Thibaut Mastrolia & Dylan Possamai, 2019. "Mean-field moral hazard for optimal energy demand response management," Papers 1902.10405, arXiv.org, revised Mar 2020.
  19. Camilo Hern'andez & Dylan Possamai, 2020. "Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents," Papers 2002.12572, arXiv.org, revised Jul 2021.
  20. Eduardo Abi Jaber & Stéphane Villeneuve, 2022. "Gaussian Agency problems with memory and Linear Contracts," Working Papers hal-03783062, HAL.
  21. Rene Carmona, 2020. "Applications of Mean Field Games in Financial Engineering and Economic Theory," Papers 2012.05237, arXiv.org.
  22. René Carmona, 2022. "The influence of economic research on financial mathematics: Evidence from the last 25 years," Finance and Stochastics, Springer, vol. 26(1), pages 85-101, January.
  23. Jessica Martin & Stéphane Villeneuve, 2021. "A Class of Explicit optimal contracts in the face of shutdown," Working Papers hal-03124102, HAL.
  24. Alessandro Chiusolo & Emma Hubert, 2024. "A new approach to principal-agent problems with volatility control," Papers 2407.09471, arXiv.org.
  25. Eduardo Abi Jaber & St'ephane Villeneuve, 2022. "Gaussian Agency problems with memory and Linear Contracts," Papers 2209.10878, arXiv.org.
  26. Omar El Euch & Thibaut Mastrolia & Mathieu Rosenbaum & Nizar Touzi, 2021. "Optimal make–take fees for market making regulation," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 109-148, January.
  27. Camilo Hern'andez & Dylan Possamai, 2023. "Time-inconsistent contract theory," Papers 2303.01601, arXiv.org.
  28. Yasuaki Wasa & Ken-Ichi Akao & Kenko Uchida, 2020. "Optimal Dynamic Incentive Contracts between a Principal and Multiple Agents in Controlled Markov Processes: A Constructive Approach," RIEEM Discussion Paper Series 2001, Research Institute for Environmental Economics and Management, Waseda University.
  29. Emma Hubert, 2023. "Continuous-time incentives in hierarchies," Finance and Stochastics, Springer, vol. 27(3), pages 605-661, July.
  30. Guillermo Alonso Alvarez & Erhan Bayraktar & Ibrahim Ekren & Liwei Huang, 2024. "Sequential optimal contracting in continuous time," Papers 2411.04262, arXiv.org.
  31. Chong Lai & Rui Li & Yonghong Wu, 2020. "Optimal compensation and investment affected by firm size and time-varying external factors," Annals of Finance, Springer, vol. 16(3), pages 407-422, September.
  32. Kaitong Hu & Zhenjie Ren & Junjian Yang, 2019. "Principal-agent problem with multiple principals," Working Papers hal-02088486, HAL.
  33. Emma Hubert, 2020. "Continuous-time incentives in hierarchies," Papers 2007.10758, arXiv.org.
  34. Dena Firoozi & Arvind V Shrivats & Sebastian Jaimungal, 2021. "Principal agent mean field games in REC markets," Papers 2112.11963, arXiv.org, revised Jun 2022.
  35. Jessica Martin & Stéphane Villeneuve, 2023. "Risk-sharing and optimal contracts with large exogenous risks," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 46(1), pages 1-43, June.
  36. Bastien Baldacci & Dylan Possamai, 2021. "Governmental incentives for green bonds investment," Papers 2101.00648, arXiv.org.
  37. Camilo Hernández & Dylan Possamaï, 2024. "Time‐inconsistent contract theory," Mathematical Finance, Wiley Blackwell, vol. 34(3), pages 1022-1085, July.
  38. Jessica Martin & Stéphane Villeneuve, 2023. "Risk-sharing and optimal contracts with large exogenous risks," Post-Print hal-04164688, HAL.
  39. Emma Hubert & Thibaut Mastrolia & Dylan Possamai & Xavier Warin, 2020. "Incentives, lockdown, and testing: from Thucydides's analysis to the COVID-19 pandemic," Papers 2009.00484, arXiv.org, revised Apr 2022.
  40. Jessica Martin & St'ephane Villeneuve, 2021. "A Class of Explicit optimal contracts in the face of shutdown," Papers 2102.00001, arXiv.org.
  41. Bastien Baldacci & Dylan Possamaï, 2022. "Governmental incentives for green bonds investment," Mathematics and Financial Economics, Springer, volume 16, number 5, February.
  42. Yiqing Lin & Zhenjie Ren & Nizar Touzi & Junjian Yang, 2020. "Random horizon principal-agent problems," Papers 2002.10982, arXiv.org, revised Feb 2022.
  43. Romuald Elie & Thibaut Mastrolia & Dylan Possamaï, 2019. "A Tale of a Principal and Many, Many Agents," Mathematics of Operations Research, INFORMS, vol. 44(2), pages 440-467, May.
  44. Daniel Krv{s}ek & Dylan Possamai, 2023. "Randomisation with moral hazard: a path to existence of optimal contracts," Papers 2311.13278, arXiv.org.
  45. Takashi Furuya & Anastasis Kratsios, 2024. "Simultaneously Solving FBSDEs with Neural Operators of Logarithmic Depth, Constant Width, and Sub-Linear Rank," Papers 2410.14788, arXiv.org.
  46. Bastien Baldacci & Iuliia Manziuk & Thibaut Mastrolia & Mathieu Rosenbaum, 2019. "Market making and incentives design in the presence of a dark pool: a deep reinforcement learning approach," Papers 1912.01129, arXiv.org.
  47. Lee, Hangsuck & Ha, Hongjun & Lee, Minha, 2024. "A sharing rule for multi-period interest-sensitive insurance contracts," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
  48. Christina Nikolova & Veronika Garkova, 2022. "Evaluating the Impacts of Passengers’ Rights Policy on the Competitiveness of Airlines and Airport Operators Using the Dynamic Programming Approach," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 94-117.
  49. Dylan Possamai & Nizar Touzi, 2020. "Is there a Golden Parachute in Sannikov's principal-agent problem?," Papers 2007.05529, arXiv.org, revised Oct 2022.
  50. Sarah Bensalem & Nicolás Hernández Santibáñez & Nabil Kazi-Tani, 2022. "A Continuous-Time Model of Self-Protection," Working Papers hal-02974961, HAL.
  51. Alberto Gennaro & Thibaut Mastrolia, 2024. "Delegated portfolio management with random default," Papers 2410.13103, arXiv.org.
  52. Dylan Possamai & Chiara Rossato, 2023. "Golden parachutes under the threat of accidents," Papers 2312.02101, arXiv.org, revised Dec 2024.
  53. Mao Fabrice Djete, 2024. "Three connected problems: principal with multiple agents in cooperation, Principal--Agent with Mckean--Vlasov dynamics and multitask Principal--Agent," Papers 2410.15818, arXiv.org, revised Oct 2024.
  54. Ren'e Carmona & Mathieu Lauri`ere, 2021. "Deep Learning for Mean Field Games and Mean Field Control with Applications to Finance," Papers 2107.04568, arXiv.org.
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