2016/08/18 by Romuald Elie, Elie, Romuald, Thibaut Mastrolia +3 · 5 citations
Mathematics · #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR) #math.OC #math.PR
paper · pdf · doi:10.48550/arxiv.1608.05226
38 pages
arxiv created 2018/02/24 · arxiv updated 2018/02/27
In this paper, we investigate a moral hazard problem in finite time with lump-sum and continuous payments, involving infinitely many Agents with mean field type interactions, hired by one Principal. By reinterpreting the mean-field game faced by each Agent in terms of a mean field forward backward stochastic differential equation (FBSDE for short), we are able to rewrite the Principal's problem as a control problem of McKean-Vlasov SDEs. We review one general approache to tackle it, introduced recently in [1, 43, 44, 45, 46] using dynamic programming and Hamilton-Jacobi-Bellman (HJB for short) equations, and mention a second one based on the stochastic Pontryagin maximum principle, which follows [10]. We solve completely and explicitly the problem in special cases, going beyond the usual linear-quadratic framework. We finally show in our examples that the optimal contract in the N-players' model converges to the mean-field optimal contract when the number of agents goes to +∞, thus illustrating in our specific setting the general results of [8].