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On The Dynamic Programming Approach To Incentive Constraint Problems

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Author Info
FAUSTO GOZZI
ROBERTO MONTE
M. ELISABETTA TESSITORE

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Abstract

In this paper we study a class of infinite horizon optimal control problems with incentive constraints in the discrete time case. More specifically, we establish suffcient conditions under which the value function associated to such problems satisfies the Dynamic Programming Principle.

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Paper provided by Tor Vergata University, CEIS in its series Departmental Working Papers with number 193.

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Date of creation: Jun 2003
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Handle: RePEc:rtv:ceiswp:193

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  1. Barucci, Emilio & Gozzi, Fausto & Swiech, Andrzej, 2000. "Incentive compatibility constraints and dynamic programming in continuous time," Journal of Mathematical Economics, Elsevier, vol. 34(4), pages 471-508, December. [Downloadable!] (restricted)
  2. von Thadden, Ernst-Ludwig, 2002. "An incentive problem in the dynamic theory of banking," Journal of Mathematical Economics, Elsevier, vol. 38(1-2), pages 271-292, September. [Downloadable!] (restricted)
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  3. Marcet, A. & Marimon, R., 1998. "Recursive Contracts," Economics Working Papers eco98/37, European University Institute.
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  4. Rustichini, Aldo, 1998. "Dynamic Programming Solution of Incentive Constrained Problems," Journal of Economic Theory, Elsevier, vol. 78(2), pages 329-354, February. [Downloadable!] (restricted)
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This page was last updated on 2009-11-29.

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