466. Contractive Dual Methods for Incentive Problems
by 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.
JEL codes: C61, C73, D82, E61.
Keywords: Dynamic Contracts, Duality, Dynamic Programming, Contraction Mapping Theorem.
IGIER - Università Bocconi