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We investigate the existence of an optimal policy to monitor a mean field systems of agents managing a risky project under moral hazard with accidents modeled by L\'evy processes magnified by the law of the project.
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Pierre Cardaliaguet, Notes on mean field games , Tech. report, Technical report, 2010
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Levon Goukasian and Xuhu Wan, Optimal incentive contracts under relative income concerns , Mathematics and Financial Economics 4
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Barney Hartman-Glaser, Tomasz Piskorski, and Alexei Tchistyi, Optimal securitization with moral hazard , Journal of Financial Economics 104
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René Carmona, François Delarue, and Aimé Lachapelle, Control of mckean–vlasov dynamics versus mean field games , Mathematics and Financial Economics 7
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Romuald Elie and Dylan Possamaï, Contracting theory with competitive interacting agents , SIAM Journal on Control and Optimization 57
2019
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Chiara Benazzoli, Luciano Campi, and Luca Di Persio, Mean field games with controlled jump–diffusion dynamics: Existence results and an illiquid interbank market model , Stochastic Processes and their Applications 130
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2020
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Lening Kang, Nash equilibria in the continuous-time principal-agent problem with multiple principals , Michigan State University, 2013
2013
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Agostino Capponi and Christoph Frei, Dynamic contracting: accidents lead to nonlinear contracts , SIAM Journal on Financial Mathematics 6
2015
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René Carmona and Daniel Lacker, A probabilistic weak formulation of mean field games and applications , The Annals of Applied Probability 25
2015
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2017
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Huyên Pham and Xiaoli Wei, Dynamic programming for optimal control of stochastic mckean–vlasov dynamics , SIAM Journal on Control and Optimization 55
2017
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René Carmona, François Delarue, et al., Probabilistic theory of mean field games with applications i-ii , Springer, 2018
2018
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Jakša Cvitanić, Dylan Possamaï, and Nizar Touzi, Dynamic programming approach to principal–agent problems , Finance and Stochastics 22
2018
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2020
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2020
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2020
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2020
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2021
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Romuald Elie, Emma Hubert, Thibaut Mastrolia, and Dylan Possamaï, Mean–field moral hazard for optimal energy demand response management , Mathematical Finance 31
2021
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Omar El Euch, Thibaut Mastrolia, Mathieu Rosenbaum, and Nizar Touzi, Optimal make–take fees for market making regulation , Mathematical Finance 31
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René Aïd, Dylan Possamaï, and Nizar Touzi, Optimal electricity demand response contracting with responsiveness incentives , Mathematics of Operations Research (2022)
2022
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