Recursive methods for incentive problems
Review of economic dynamics, 2012, Vol. 15, No. 4, pp. 501-525
MESSNER, Matthias, PAVONI, Nicola, SLEET, Christopher, Recursive methods for incentive problems, Review of economic dynamics, 2012, Vol. 15, No. 4, pp. 501-525 - https://hdl.handle.net/1814/33999
Retrieved from Cadmus, EUI Research Repository
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.
Cadmus permanent link: https://hdl.handle.net/1814/33999
Full-text via DOI: 10.1016/j.red.2012.07.002
ISSN: 1094-2025; 1096-6099
Publisher: Academic Press Inc Elsevier Science
Keyword(s): Dynamic contracts Duality Dynamic programming Formulation
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