In this paper we study a class of infinite horizon optimal control problemswith incentive constraints in the discrete time case. More specifically, we establish sufficient conditions under which the value function associated to such problems satisfies the Dynamic Programming Principle.
On the dynamic programming approach for incentive constrained problems / Gozzi, Fausto; Monte, R.; Tessitore, M. E.. - 687:(2018), pp. 81-96. [10.1007/978-3-319-75169-6_5]
On the dynamic programming approach for incentive constrained problems
GOZZI, FAUSTO;
2018
Abstract
In this paper we study a class of infinite horizon optimal control problemswith incentive constraints in the discrete time case. More specifically, we establish sufficient conditions under which the value function associated to such problems satisfies the Dynamic Programming Principle.
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