Contractive Dual Methods for Incentive Problems
AbstractSeveral recent papers have proposed recursive Lagrangian-basedmethods for solving dynamic contracting problems. Thesemethods give rise to Bellman operators that incorporate either a dual inf-sup or a saddle point operation. We give conditions that ensure the Bellman operator implied by a dual recursive formulation is contractive. JEL codes: C61, C73, D82, E61. Keywords: Dynamic Contracts, Duality, Dynamic Programming, Contraction Mapping Theorem.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University in its series Working Papers with number 466.
Date of creation: 2012
Date of revision:
Contact details of provider:
Postal: via Rontgen, 1 - 20136 Milano (Italy)
Web page: http://www.igier.unibocconi.it/
Other versions of this item:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-01-19 (All new papers)
- NEP-CTA-2013-01-19 (Contract Theory & Applications)
- NEP-GTH-2013-01-19 (Game Theory)
- NEP-MIC-2013-01-19 (Microeconomics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Duran, Jorge, 1997.
"On dynamic programming with unbounded returns,"
CEPREMAP Working Papers (Couverture Orange)
- Duran, Jorge, 1997. "On Dynamic Programming with Unbounded Returns," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1997033, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Nicola Pavoni & Ramon Marimon & Matthias Messner, 2005.
"On the Recursive Saddle Point Method,"
2005 Meeting Papers
294, Society for Economic Dynamics.
- Matthias Messner & Nicola Pavoni, 2004. "On the Recursive Saddle Point Method," Working Papers 255, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Matthias Messner & Nicola Pavoni, 2004. "On the Recursive Saddle Point Method," Levine's Bibliography 122247000000000050, UCLA Department of Economics.
- Matthias Messner & Nicola Pavoni & Christopher Sleet, 2012.
"Recursive Methods for Incentive Problems,"
Review of Economic Dynamics,
Elsevier for the Society for Economic Dynamics, vol. 15(4), pages 501-525, October.
- Werning, Ivan & Farhi, Emmanuel, 2007.
"Inequality and Social Discounting,"
3451391, Harvard University Department of Economics.
- Vailakis, Yiannis & Martins-da-Rocha, Victor Filipe, 2008.
"Existence and Uniqueness of a Fixed-Point for Local Contractions,"
Economics Working Papers (Ensaios Economicos da EPGE)
677, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- V. Filipe Martins-da-Rocha & Yiannis Vailakis, 2010. "Existence and Uniqueness of a Fixed Point for Local Contractions," Econometrica, Econometric Society, vol. 78(3), pages 1127-1141, 05.
- Mele, Antonio, 2011.
"Repeated moral hazard and recursive Lagrangeans,"
30310, University Library of Munich, Germany.
- Felix Kubler & Harold L. Cole, 2011.
"Recursive Contracts, Lotteries and Weakly Concave Pareto Sets,"
2011 Meeting Papers
59, Society for Economic Dynamics.
- Harold Cole & Felix Kubler, 2012. "Recursive Contracts, Lotteries and Weakly Concave Pareto Sets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(4), pages 479-500, October.
- Harold L. Cole & Felix Kubler, 2011. "Recursive Contracts, Lotteries and Weakly Concave Pareto Sets," NBER Working Papers 17064, National Bureau of Economic Research, Inc.
- Harold Cole & Felix Kubler, 2010. "Recursive Contracts, Lotteries and Weakly Concave Pareto Sets," PIER Working Paper Archive 10-038, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Boud, John III, 1990. "Recursive utility and the Ramsey problem," Journal of Economic Theory, Elsevier, vol. 50(2), pages 326-345, April.
- Janusz Matkowski & Andrzej Nowak, 2011.
"On discounted dynamic programming with unbounded returns,"
Springer, vol. 46(3), pages 455-474, April.
- Matkowski, Janusz & Nowak, Andrzej S., 2008. "On Discounted Dynamic Programming with Unbounded Returns," MPRA Paper 12215, University Library of Munich, Germany.
- Juan Pablo RincÛn-Zapatero & Carlos RodrÌguez-Palmero, 2003. "Existence and Uniqueness of Solutions to the Bellman Equation in the Unbounded Case," Econometrica, Econometric Society, vol. 71(5), pages 1519-1555, 09.
- Messner Matthias & Pavoni Nicola & Sleet Christopher, . "Recursive Methods for Dynamic Incentive Problems," GSIA Working Papers 2012-E13, Carnegie Mellon University, Tepper School of Business.
- Matthias Messner & Nicola Pavoni & Christopher Sleet, 2011.
"Recursive methods for incentive problems,"
381, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.