Contractive Dual Methods for Incentive Problems
Several recent papers have proposed recursive Lagrangian-based methods for solving dynamic contracting problems. These methods 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.
|Date of creation:|
|Date of revision:|
|Contact details of provider:|| Postal: Tepper School of Business, Carnegie Mellon University, 5000 Forbes Avenue, Pittsburgh, PA 15213-3890|
Web page: http://www.tepper.cmu.edu/
|Order Information:||Web: http://student-3k.tepper.cmu.edu/gsiadoc/GSIA_WP.asp|
References listed on IDEAS
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.:
- Janusz Matkowski & Andrzej Nowak, 2011.
"On discounted dynamic programming with unbounded returns,"
Springer;Society for the Advancement of Economic Theory (SAET), 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.
- Emmanuel Farhi & IvÃ¡n Werning, 2007.
"Inequality and Social Discounting,"
Journal of Political Economy,
University of Chicago Press, vol. 115, pages 365-402.
- 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.
- Mele, Antonio, 2011.
"Repeated moral hazard and recursive Lagrangeans,"
30310, University Library of Munich, Germany.
- 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.
- Felix Kubler & Harold L. Cole, 2011. "Recursive Contracts, Lotteries and Weakly Concave Pareto Sets," 2011 Meeting Papers 59, Society for Economic Dynamics.
- Matthias Messner & Nicola Pavoni, 2016.
"On the Recursive Saddle Point Method,"
Dynamic Games and Applications,
Springer, vol. 6(2), pages 161-173, June.
- Matthias Messner & Nicola Pavoni, 2004. "On the Recursive Saddle Point Method," Levine's Bibliography 122247000000000050, UCLA Department of Economics.
- Matthias Messner & Nicola Pavoni, 2004. "On the Recursive Saddle Point Method," Working Papers 255, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Nicola Pavoni & Ramon Marimon & Matthias Messner, 2005. "On the Recursive Saddle Point Method," 2005 Meeting Papers 294, Society for Economic Dynamics.
- V. Filipe Martins-da-Rocha & Yiannis Vailakis, 2010.
"Existence and Uniqueness of a Fixed Point for Local Contractions,"
Econometric Society, vol. 78(3), pages 1127-1141, 05.
- 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).
- Jorge DurÂn, 2000.
"On dynamic programming with unbounded returns,"
Springer;Society for the Advancement of Economic Theory (SAET), vol. 15(2), pages 339-352.
- Duran, Jorge, 1997. "On dynamic programming with unbounded returns," CEPREMAP Working Papers (Couverture Orange) 9710, CEPREMAP.
- 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).
- 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.
- Boud, John III, 1990. "Recursive utility and the Ramsey problem," Journal of Economic Theory, Elsevier, vol. 50(2), pages 326-345, April.
When requesting a correction, please mention this item's handle: RePEc:cmu:gsiawp:-2081994536. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Steve Spear)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.