Abstract: In this talk I will cover a sequence of models for optimal dynamic contract design in settings where a principal induces effort from an agent to either increase or decrease the arrival rate of a Poisson process. The effort is costly to the agent, and unobservable to the principal. The optimal dynamic contracts involve scheduling monetary payments, potential contract termination, and episodes in which the agent does not work. We formulate the problem as stochastic optimal control models and focus on solving the problems analytically in this talk. General optimal dynamic contract design problems could be a fertile ground for approximation, estimation, and other data science approaches.

Bio: Peng Sun is a J.B. Fuqua Professor in the Decision Sciences area at the Fuqua School of Business, Duke University. He researches mathematical theories and models for resource allocation decisions under uncertainty, and incentive issues in dynamic environments. His work spans a range of applications areas, from operations management, economics, finance, marketing, to health care and sustainability.