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math.PR2025
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…
math.PR2025
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…