Dynamic principal agent model based on CMDP

Yuanyao Ding (), Rangcheng Jia and Shaoxiang Tang

Mathematical Methods of Operations Research, 2003, vol. 58, issue 1, 149-157

Abstract: Dynamic principal agent models are formulated based on constrained Markov decision process (CMDP), in which conditions are given that the state space of the system is countable and the agent chooses his actions from a countable action set. If the principal has finite alternative contracts to select, it is shown that the optimal contract solution and the corresponding optimal policy can be obtained by linear programming under the discounted criterion and average criterion. Copyright Springer-Verlag 2003

Keywords: Principal-agent; Constrained Makrov decision process; Discounted criterion; Average criterion (search for similar items in EconPapers)
Date: 2003
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DOI: 10.1007/s001860300276

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