论文标题
具有道德危害，协同效果和事故的代理商的代理问题和平均野外系统
Agency problem and mean field system of agents with moral hazard, synergistic effects and accidents
论文作者
论文摘要
我们调查了一项最佳政策的存在，以监视在道德危害下管理一个风险项目的代理机构的平均现场系统，其事故是由该项目法律放大的Lévy流程模拟的。我们提供了一种通用方法，可以在所有参数上找到一般，充分和必要的假设，以找到代理的平均场均衡和最佳补偿政策。我们将问题正式化为双重优化，并具有平均野外游戏的概率版本，可以将其简化为带有跳跃的受控McKean-Vlasov SDE。我们将结果应用于最佳的能源需求响应问题，当内源性或外源性菌株的能源消耗的变化过高时，一群消费者会受到削减/短缺的影响。在此示例中，我们可以明确解决平均现场游戏和带有跳跃的McKean-Vlasov方程
We investigate the existence of an optimal policy to monitor a mean field systems of agents managing a risky project under moral hazard with accidents modeled by Lévy processes magnified by the law of the project. We provide a general method to find both a mean field equilibrium for the agents and the optimal compensation policy under general, sufficient and necessary assumptions on all the parameters. We formalize the problem as a bilevel optimization with the probabilistic version of a mean field games which can be reduced to a controlled McKean-Vlasov SDE with jumps. We apply our results to an optimal energy demand-response problem with a crowd of consumers subjected to power cut/shortage when the variability of the energy consumption is too high under endogenous or exogenous strains. In this example, we get explicit solution to the mean field game and to the McKean-Vlasov equation with jumps
