CARMONA Rene

In this thesis, we are mainly interested in three research topics, relatively independent, but nevertheless related through the thread of interactions and incentives, as highlighted in the introduction constituting the first chapter.In the first part, we present extensions of contract theory, allowing in particular to consider a multitude of players in principal-agent models, with drift and volatility control, in the presence of moral hazard. In particular, Chapter 2 presents a continuous-time optimal incentive problem within a hierarchy, inspired by the one-period model of Sung (2015) and enlightening in two respects: on the one hand, it presents a framework where volatility control occurs in a perfectly natural way, and, on the other hand, it highlights the importance of considering continuous-time models. In this sense, this example motivates the comprehensive and general study of hierarchical models carried out in the third chapter, which goes hand in hand with the recent theory of second-order stochastic differential equations (2EDSR). Finally, in Chapter 4, we propose an extension of the principal-agent model developed by Aïd, Possamaï, and Touzi (2019) to a continuum of agents, whose performances are in particular impacted by a common hazard. In particular, these studies guide us towards a generalization of the so-called revealing contracts, initially proposed by Cvitanić, Possamaï and Touzi (2018) in a single-agent model.In the second part, we present two applications of principal-agent problems to the energy domain. The first one, developed in Chapter 5, uses the formalism and theoretical results introduced in the previous chapter to improve electricity demand response programs, already considered by Aïd, Possamaï and Touzi (2019). Indeed, by taking into account the infinite number of consumers that a producer has to supply with electricity, it is possible to use this additional information to build the optimal incentives, in particular to better manage the residual risk implied by weather hazards. In a second step, chapter 6 proposes, through a principal-agent model with adverse selection, an insurance that could prevent some forms of precariousness, in particular fuel precariousness.Finally, we end this thesis by studying in the last part a second field of application, that of epidemiology, and more precisely the control of the diffusion of a contagious disease within a population. In chapter 7, we first consider the point of view of individuals, through a mean-field game: each individual can choose his rate of interaction with others, reconciling on the one hand his need for social interactions and on the other hand his fear of being contaminated in turn, and of contributing to the wider diffusion of the disease. We prove the existence of a Nash equilibrium between individuals, and exhibit it numerically. In the last chapter, we take the point of view of the government, wishing to incite the population, now represented as a whole, to decrease its interactions in order to contain the epidemic. We show that the implementation of sanctions in case of non-compliance with containment can be effective, but that, for a total control of the epidemic, it is necessary to develop a conscientious screening policy, accompanied by a scrupulous isolation of the individuals tested positive.