Department of Mathematics

Speaker: Dylan Possamaï
Title: An Introduction and Recent Progress on Principal-Agent Problems
Affiliation: Columbia University
Date: Friday, October 27, 2017
Place and Time: Room 101, Love Building, 3:35-4:30 pm
Refreshments: Room 204, Love Building, 3:00 pm

Abstract. This talk will consist of an overview of recent progress made in contracting theory, using the so-called dynamic programming approach. The basic situation is that of a Principal wanting to hire an Agent to do a task on his behalf, and who has to be properly incentivized. We will show how this general framework allows treating volatility control problems arising for instance in delegated portfolio management, in electricity pricing, or in central clearing houses. We will also, if time permits, analyze the situation of a Principal hiring a finite number of Agents who can interact with each other, as well as the associated mean-field problem. All of this is based on joint works with René Aïd (EDF and FIME), Clémence Alasseur (EDF and FIME), Jakša Cvitanić (CALTECH), Ivar Ekeland (Université Paris Dauphine), Romuald Élie (Université Marne-la-Vallée), Nicolás Hernández Santibáñez (Université Paris Dauphine and Universidad de Chile), Thibaut Mastrolia (Université Paris Dauphine) Anthony Réveillac (INSA Toulouse), Stéphane Villeneuve (TSE) and Nizar Touzi (École Polyetchnique).