4 papers
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…
Optimal incentive scheme for ESG disclosure
Imen Ben Tahar, Dylan Possamaï, Xiaolu Tan
This paper characterises optimal incentive schemes for ESG disclosure in a continuous-time principal-agent setting. We model a risk-averse principal (e.g., a platform or standard-s…
Variance strikes back: sub-game--perfect Nash equilibria in time-inconsistent -player games, and their mean-field sequel
Dylan Possamaï, Chiara Rossato
We investigate a time-inconsistent, non-Markovian finite-player game in continuous time, where each player's objective functional depends non-linearly on the expected value of the…
Randomisation with moral hazard: a path to existence of optimal contracts
Daniel Kršek, Dylan Possamaï
We study a generic principal-agent problem in continuous time on a finite time horizon. We introduce a framework in which the agent is allowed to employ measure-valued controls and…