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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | An algorithm for computing solutions of variational problems with global convexity constraints |
| Organization Unit | |
| Authors |
|
| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Numerische Mathematik |
| Publisher | Springer |
| Geographical Reach | international |
| ISSN | 0029-599X |
| Volume | 115 |
| Number | 1 |
| Page Range | 45 - 69 |
| Date | 2010 |
| Abstract Text | 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. |
| Free access at | Related URL |
| Related URLs | |
| Digital Object Identifier | 10.1007/s00211-009-0270-2 |
| Other Identification Number | merlin-id:7968 |
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