hero working papers

Contractive Dual Methods for Incentive Problems

Number: 466
Year: 2012
Author(s): Matthias Messner, Nicola Pavoni, Christopher Sleet
Several 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.

Keywords: Dynamic Contracts, Duality, Dynamic Programming, Contraction Mapping Theorem
JEL codes: C61, C73, D82, E61