Recursive methods for incentive problems
Title: Recursive methods for incentive problems
Publisher: Academic Press Inc Elsevier Science
Citation: Review of economic dynamics, 2012, Vol. 15, No. 4, pp. 501-525
ISSN: 1094-2025; 1096-6099
Many dynamic incentive problems have a primal recursive formulation in which utility promises serve as state variables. We associate dual recursive formulations with these problems. We make transparent the connections between recursive primal and dual approaches, relate value iteration under each and give conditions for such value iteration to be convergent to the true value function. (C) 2012 Elsevier Inc. All rights reserved.
Subject: Dynamic contracts; Duality; Dynamic programming; Formulation
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