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Recursive Methods for Incentive Problems

  • Matthias Messner

    (Universita Bocconi)

  • Nicola Pavoni

    (University College London)

  • Christopher Sleet

    (Carnegie Mellon University)

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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Article provided by Elsevier for the Society for Economic Dynamics in its journal Review of Economic Dynamics.

Volume (Year): 15 (2012)
Issue (Month): 4 (October)
Pages: 501-525

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Handle: RePEc:red:issued:12-24
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  1. Matthias Messner & Nicola Pavoni & Christopher Sleet, 2012. "Contractive Dual Methods for Incentive Problems," Working Papers 466, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  2. repec:oup:restud:v:54:y:1987:i:4:p:599-617 is not listed on IDEAS
  3. 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.
  4. Narayana Kocherlakota, 2010. "Implications of Efficient Risk Sharing Without Commitment," Levine's Working Paper Archive 2053, David K. Levine.
  5. Kydland, Finn E. & Prescott, Edward C., 1980. "Dynamic optimal taxation, rational expectations and optimal control," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 79-91, May.
  6. Fernandes, Ana & Phelan, Christopher, 2000. "A Recursive Formulation for Repeated Agency with History Dependence," Journal of Economic Theory, Elsevier, vol. 91(2), pages 223-247, April.
  7. Kenneth L. Judd & Sevin Yeltekin & James Conklin, 2003. "Computing Supergame Equilibria," Econometrica, Econometric Society, vol. 71(4), pages 1239-1254, 07.
  8. Emmanuel Farhi & Iván Werning, 2007. "Inequality and Social Discounting," Journal of Political Economy, University of Chicago Press, vol. 115, pages 365-402.
  9. Messner Matthias & Pavoni Nicola & Sleet Christopher, . "On the Dual Approach to Recursive Optimization," GSIA Working Papers 2012-E12, Carnegie Mellon University, Tepper School of Business.
  10. Matthias Messner & Nicola Pavoni, 2004. "On the Recursive Saddle Point Method," Working Papers 255, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  11. repec:oup:restud:v:63:y:1996:i:4:p:595-609 is not listed on IDEAS
  12. Arpad Abraham & Nicola Pavoni, 2008. "Efficient Allocations with Moral Hazard and Hidden Borrowing and Lending: A Recursive Formulation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(4), pages 781-803, October.
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