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IEOR Seminar Series: Thibaut Mastrolia, UC Berkeley
September 19 @ 3:30 pm – 4:30 pm
Talk Title: Agency Problems and Applications to Ecology, Energy Systems, and Financial Markets.
Abstract: In this talk, we study the existence of an optimal policy designed by a regulator to monitor a system of agents managing a risky project for interests higher than their individual interests. We first provide a general method for finding both an equilibrium for the agents and an optimal compensation policy in general. The problem is formalized as a stochastic bilevel optimization. We then apply these results to ecology and natural resource management, energy consumption and optimal demand-consumption, finance and optimal market making.
Bio: Thibaut Mastrolia is an Assistant professor in the Department of Industrial Engineering and Operations Research at UC Berkeley. Prior to UC Berkeley, Mastrolia served as an Assistant Professor at Ecole Polytechnique. Mastrolia received his PhD in applied mathematics at Université Paris-Dauphine in 2015. His research interests include stochastic control, stochastic differential games, principal-agent problems, microstructure and financial markets, population dynamics, and resource management.