Finite-State Contract Theory with a Principal and a Field of Agents
Finite-State Contract Theory with a Principal and a Field of Agents
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DOI：
10.1287/mnsc.2020.3760
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发表时间：
2021-08-01
影响因子：
5.4
通讯作者：
Wang, Peiqi
中科院分区：
文献类型：
--
作者：
Carmona, Rene;Wang, Peiqi
我们使用最近开发的弱公式中有限多个状态的平均场博弈的概率分析来建立委托人/代理人契约理论模型，其中委托人面临大量以平均场方式相互作用的代理人。我们将问题简化为 McKean-Vlasov 类型的动力学最优控制，并针对一类具有凹奖励的模型显式地解决了这个问题。本文最后以一个数值示例来展示该结果在应用于流行病遏制示例时的力量。
We use the recently developed probabilistic analysis of mean field games with finitely many states in the weak formulation to set up a principal/agent contract theory model where the principal faces a large population of agents interacting in a mean field manner. We reduce the problem to the optimal control of dynamics of the McKean-Vlasov type, and we solve this problem explicitly for a class of models with concave rewards. The paper concludes with a numerical example demonstrating the power of the results when applied to an example of epidemic containment.