Journal article
Dynamic Multiagent Incentive Contracts: Existence, Uniqueness, and Implementation
Mathematics (Basel), Vol.9(1), 19
01/01/2021
DOI: 10.3390/math9010019
Abstract
Multiagent incentive contracts are advanced techniques for solving decentralized decision-making problems with asymmetric information. The principal designs contracts aiming to incentivize non-cooperating agents to act in his or her interest. Due to the asymmetric information, the principal must balance the efficiency loss and the security for keeping the agents. We prove both the existence conditions for optimality and the uniqueness conditions for computational tractability. The coupled principal-agent problems are converted to solving a Hamilton-Jacobi-Bellman equation with equilibrium constraints. Extending the incentive contract to a multiagent setting with history-dependent terminal conditions opens the door to new applications in corporate finance, institutional design, and operations research.
Details
- Title: Subtitle
- Dynamic Multiagent Incentive Contracts: Existence, Uniqueness, and Implementation
- Creators
- Qi Luo - Clemson UniversityRomesh Saigal - University of Michigan–Ann Arbor
- Resource Type
- Journal article
- Publication Details
- Mathematics (Basel), Vol.9(1), 19
- Publisher
- Mdpi
- DOI
- 10.3390/math9010019
- ISSN
- 2227-7390
- eISSN
- 2227-7390
- Number of pages
- 17
- Language
- English
- Date published
- 01/01/2021
- Academic Unit
- Business Analytics
- Record Identifier
- 9984696860302771
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