120 citations · 370 across the 36 of their papers we have counts for
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math.OC2015★ 59 cited
Optimal Control of Conditional Value-at-Risk in Continuous Time
Christopher W. Miller, Insoon Yang
We consider continuous-time stochastic optimal control problems featuring Conditional Value-at-Risk (CVaR) in the objective. The major difficulty in these problems arises from time…
math.OC2015
Optimal Dynamic Contracts for a Large-Scale Principal-Agent Hierarchy: A Concavity-Preserving Approach
Christopher W. Miller, Insoon Yang
We present a continuous-time contract whereby a top-level player can incentivize a hierarchy of players below him to act in his best interest despite only observing the output of h…