Reverse calculus and nested optimization

DOI10.1016/j.jet.2020.105019zbMath1437.91118OpenAlexW2993608420MaRDI QIDQ2173100

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) Hierarchical games (including Stackelberg games) (91A65) Dynamic programming (90C39) Credit risk (91G40)

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