Dylan Possamaï: Principal Agent Modelling - lecture 1

CIRM HYBRID EVENT These lectures will consist in an overview of recent progresses 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 to treat volatility control problems arising for instance in delegated portfolio management, or in electricity pricing. If time permit, we will also 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. The theory will be mostly illustrated by examples ranging from finance and insurance applications to regulation issues. Recorded during the meeting "Distributed Control: Decentralization and Incentives" the June 15, 2021 by the Centre International de Rencontres Mathématiques (Marseille, France) Filmmaker: Jean Petit Find this video and other talks given by worldwide mathematicians on CIRM's Audiovisual Mathematics Library: http://library.cirm-math.fr. And discover all its functionalities: - Chapter markers and keywords to watch the parts of your choice in the video - Videos enriched with abstracts, bibliographies, Mathematical area