Groupe d’études et de recherche en analyse des décisions


A Note on Incremental Incentives in Continuous Times


This paper deals with a class of continuous time discounted models representing an incremental incentive scheme whereby a firm receives a premium if its current performance exceeds a target level equal to an average of past performances taken over a period of finite length. The resulting optimization problem faced by the firm falls in the class of optimal control problems with time delays. The necessary conditions for optimality are derived and the oscillating nature of the solution is put in evidence.

, 10 pages