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

• 成果类型: Article
• 署名作者: Carmona, Rene; Wang, Peiqi
• 署名单位: Princeton University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2020.3760
• 发表日期: 2021
• 页码: 4725-4741
• 关键词: principal agent problem; mean field game; epidemic control

摘要

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.