Finite-State Contract Theory with a Principal and a Field of Agents

We use the recently developed probabilistic analysis of mean field games with finitely many states in the weak formulation to set up a principal/agent contract theory model where the principal faces a large population of agents interacting in a mean field manner. We reduce the problem to the optimal control of dynamics of the McKean-Vlasov type, and we solve this problem explicitly for a class of models with concave rewards. The paper concludes with a numerical example demonstrating the power of the results when applied to an example of epidemic containment. This paper was accepted by Baris Ata, stochastic models and simulation.

• 저널Management Science · 67(8) · 4725–4741
• 토픽Stochastic processes and financial applications · Finance
• DOI10.1287/mnsc.2020.3760
• 저자René Carmona, Peiqi Wang