Reverse calculus and nested optimization

DOI10.1016/J.JET.2020.105019MaRDI QIDQ2173100zbMATH OpenOpenAlexFDO

Authors Andrew Clausen, Carlo Strub

Publication date 22 April 2020

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/20.500.11820/abb9279f-1d30-4816-ae3b-6998c17c8c28

zbMATH Keywords

first-order conditionsStackelberg problemsnon-convex dynamic programmingunsecured credit

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Dynamic programming (90C39) Credit risk (91G40) Hierarchical games (including Stackelberg games) (91A65)

Recommendations

• Necessary optimality conditions for Stackelberg problems
• scientific article; zbMATH DE number 19349
• Recursive contracts
• The dual approach to recursive optimization: theory and examples
• Non-concave dynamic programming

Cites work

• scientific article; zbMATH DE number 52448 (Why is no real title available?)
• scientific article; zbMATH DE number 3320765 (Why is no real title available?)
• A Quantitative Theory of Unsecured Consumer Credit with Risk of Default
• A general endogenous grid method for multi-dimensional models with non-convexities and constraints
• Envelope Theorems for Arbitrary Choice Sets
• Generalized Gradients and Applications
• Infinite dimensional analysis. A hitchhiker's guide.
• On Fréchet subdifferentials
• On optimal growth under uncertainty
• On the Differentiability of the Value Function in Dynamic Models of Economics
• One-Sector Nonclassical Optimal Growth: Optimality Conditions and Comparative Dynamics
• Smoothness of the Policy Function in Discrete Time Economic Models
• Smoothness, Comparative Dynamics, and the Turnpike Property
• Take the short route: equilibrium default and debt maturity
• Variational Analysis

Cited in

(4)

• Giving reverse differentiation a helping hand^∗
• CREDIT, DEFAULT, AND OPTIMAL HEALTH INSURANCE
• The converse envelope theorem
• scientific article; zbMATH DE number 2143180 (Why is no real title available?)

This page was built for publication: Reverse calculus and nested optimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2173100)