An algorithm for computing solutions of variational problems with global convexity constraints
نویسندگان
چکیده
We present an algorithm to approximate the solutions to variational problems where set of admissible functions consists of convex functions. The main motivation behind the numerical method is to compute solutions to Adverse Selection problems within a Principal-Agent framework. Problems such as product lines design, optimal taxation, structured derivatives design, etc. can be studied through the scope of these models. We develop a method to estimate their optimal pricing schedules. Mathematics Subject Classification (2000) 49-04 · 49M25 · 49M37 · 65K10 · 91B30 · 91B32
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عنوان ژورنال:
- Numerische Mathematik
دوره 115 شماره
صفحات -
تاریخ انتشار 2010