4 papers
Multi-Principal Competition for an Exclusive Agent: characterization and approximation of Nash Equilibria
Luis Briceño-Arias, Nicolás Hernández-Santibáñez, Vicente Moreno-Garrido
This paper introduces and studies a Principal-Agent competition model where two risk-neutral Principals compete to hire a single Agent. In this framework, the Agent chooses to work…
Investment and Operational Planning for electricity markets with massive entry of renewable energy
Nicolás Hernández-Santibáñez, Alejandro Jofré, Matías Vera
In wholesale electricity markets, electricity producers and the independent system operator (ISO) play a central role. The ISO is responsible for minimizing production costs while…
Closed-loop equilibria for Stackelberg games: a story about stochastic targets
Camilo Hernández, Nicolás Hernández Santibáñez, Emma Hubert +1
We provide a general approach to reformulating any continuous-time stochastic Stackelberg differential game under closed-loop strategies as a single-level optimisation problem with…
Contract theory in a VUCA world
Nicolás Hernández Santibánez, Thibaut Mastrolia
In this paper we investigate a Principal-Agent problem with moral hazard under Knightian uncertainty. We extend the seminal framework of Holmström and Milgrom by combining a Stacke…