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Contractive Dual Methods for Incentive Problems

Author

Listed:
  • Matthias Messner
  • Nicola Pavoni
  • Christopher Sleet

Abstract

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.

Suggested Citation

  • Matthias Messner & Nicola Pavoni & Christopher Sleet, "undated". "Contractive Dual Methods for Incentive Problems," GSIA Working Papers 2012-E26, Carnegie Mellon University, Tepper School of Business.
  • Handle: RePEc:cmu:gsiawp:-2081994536
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    File URL: https://student-3k.tepper.cmu.edu/gsiadoc/wp/2012-E26.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. 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, September.
    3. Emmanuel Farhi & Iván Werning, 2007. "Inequality and Social Discounting," Journal of Political Economy, University of Chicago Press, vol. 115, pages 365-402.
    4. 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.
    5. Boud, John III, 1990. "Recursive utility and the Ramsey problem," Journal of Economic Theory, Elsevier, vol. 50(2), pages 326-345, April.
    6. Jorge DurÂn, 2000. "On dynamic programming with unbounded returns," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 15(2), pages 339-352.
    7. 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, May.
    8. Matthias Messner & Nicola Pavoni, 2016. "On the Recursive Saddle Point Method," Dynamic Games and Applications, Springer, vol. 6(2), pages 161-173, June.
    9. Janusz Matkowski & Andrzej Nowak, 2011. "On discounted dynamic programming with unbounded returns," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 46(3), pages 455-474, April.
    10. Mele, Antonio, 2014. "Repeated moral hazard and recursive Lagrangeans," Journal of Economic Dynamics and Control, Elsevier, vol. 42(C), pages 69-85.
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    Cited by:

    1. 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.
    2. Messner Matthias & Pavoni Nicola & Sleet Christopher, "undated". "Recursive Methods for Dynamic Incentive Problems," GSIA Working Papers 2012-E13, Carnegie Mellon University, Tepper School of Business.

    More about this item

    JEL classification:

    • 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

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