Recursive methods for incentive problems

Matthias Messner, Nicola Pavoni and Christopher Sleet

No 381, Working Papers from IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University

Abstract: Many separable dynamic incentive problems have primal recursive formulations in which utility promises serve as state variables. We associate families of dual recursive problems with these by selectively dualizing constraints. We make transparent the connections between recursive primal and dual approaches, relate value iteration under each and give conditions for it to be convergent to the true value function.

Date: 2011
New Economics Papers: this item is included in nep-cta, nep-dge, nep-gth and nep-upt
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Citations: View citations in EconPapers (8)

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Journal Article: Recursive Methods for Incentive Problems (2012)
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