Recursive Methods for Incentive Problems

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)

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Year of publication:	2012
Authors:	Messner, Matthias ; Pavoni, Nicola ; Sleet, Christopher
Published in:	Review of Economic Dynamics. - Society for Economic Dynamics - SED. - Vol. 15.2012, 4, p. 501-525
Publisher:	Society for Economic Dynamics - SED
Subject:	Dynamic contracts \| Duality \| Dynamic programming

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Type of publication:	Article
Notes:	Published
Other identifiers:	10.1016/j.red.2012.07.002 [DOI]
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C73 - Stochastic and Dynamic Games ; D82 - Asymmetric and Private Information ; E61 - Policy Objectives; Policy Designs and Consistency; Policy Coordination
Source:	RePEc - Research Papers in Economics

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