Zhenjie Ren (Université Paris-Dauphine) - Mean field game in Principal-Agent problem

Abstract: In this talk, we shall review the dynamic programming approach to solve the Principal-Agent (moral hazard) problem, and naturally observe that when the number of the agents or/and that of the principals goes to infinity and if their dynamics have mean-field interactions, it will lead to a mean field game. We shall mainly discuss a model connected to the mean field planning problem, and the other one where one agent can choose to work for different principals. Download slides Read more [...]