Dynamic programming solution of incentive constrained problems
成果类型：
Article
署名作者：
Rustichini, A
署名单位：
Tilburg University
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1006/jeth.1997.2371
发表日期：
1998
页码：
329-354
关键词：
摘要：
Several problems in economic theory can be formulated as a dynamic programming problem, plus an additional incentive compatibility constraint. This constraint requires the continuation value along the chosen sequence, at any point in time, to be larger than some prescribed Function of the state, the control, or perhaps both. This constraint changes the nature of the problem in a substantial way: for instance, even if the problem is discounted, standard arguments based on contraction principles do not apply. In this paper we show how to reduce this class of problems to a simple variation of standard dynamic programming techniques. In particular the value function for the problem is shown to be the fixed point of an appropriately defined operator. (C) 1998 Academic Press.