Mao Fabrice Djete (CMAP, École Polytechnique)

Titre : Principal-agent with Mckean-Vlasov dynamics and its connections

Résumé : In this talk, we will explore a new Principal-Agent problem, characterized by McKean-Vlasov dynamics. Specifically, the agent-controlled production process evolves according to McKean-Vlasov dynamics, and the contract can depend on the distribution of the production. We will see that this problem is the limiting case of the classical Principal-Agent problem with multiple cooperating agents, as the number of agents approaches infinity. Cooperation in this context is reflected in the agents optimizing their objectives through Pareto equilibria. We will establish that the principal's value function in this framework coincides with that of a specific McKean-Vlasov control problem. Furthermore, we will demonstrate that optimal contracts can be explicitly derived in a constructive manner from the solution to this McKean-Vlasov control problem.

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