BIRS Workshop Lecture Videos

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BIRS Workshop Lecture Videos

A tale of a Principal and many Agents Possamai, Dylan


In this talk, I will present ongoing work on a problem of moral hazard involving a Principal and a system of interacting Agents whose actions are summed up in a mean-field game. This is a new problem in the literature, and our main current result is that the problem of the Principal can always be rewritten as stochastic control problem of a system of McKean-Vlasov SDEs, for which we can derive explicit solutions in specific instances. (This joint work with Romuald Elie and Thibaut Mastrolia.)

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