Recursive Methods for Incentive Problems

Matthias Messner, Nicola Pavoni and Christopher Sleet
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Christopher Sleet: Carnegie Mellon University

Review of Economic Dynamics, 2012, vol. 15, issue 4, 501-525

Abstract: Many 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 such value iteration to be convergent to the true value function. (Copyright: Elsevier)

Keywords: Dynamic contracts; Duality; Dynamic programming (search for similar items in EconPapers)
JEL-codes: C61 C73 D82 E61 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (27)

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Working Paper: Recursive methods for incentive problems (2011)
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DOI: 10.1016/j.red.2012.07.002

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