Envelope theorems for static optimization and calculus of variations

DOI10.1016/J.JMAA.2021.125966MaRDI QIDQ2075198zbMATH OpenOpenAlexWikidataFDO

Authors Hasan Yilmaz, Joël Blot

Publication date 14 February 2022

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2108.10571, https://hal-paris1.archives-ouvertes.fr/hal-03323994/file/JB_HY_env_CalVar_23_aout.pdf

zbMATH Keywords

calculus of variationsenvelope theoreminfinite-dimensional settingparametrized problemstatic optimization

Mathematics Subject Classification ID

Optimality conditions for problems in abstract spaces (49K27) Programming in abstract spaces (90C48) Control/observation systems in abstract spaces (93C25)

Abstract: We establish differentiability properties of the value function of problems of Static Optimization in an abstract infinite dimensional setting and we apply that to problems of Calculus of Variations. We lighten the assumptions of existing results, notably by using G{^a}teaux and Hadamard differentials. Moreover we use recently established Multipliers Rules.

Review text

In an infinite-dimensional setting, the authors consider envelope theorems for parametrized problems of static optimization as well as for parametrized problems of calculus of variations. Envelope theorems are a fundamental tool in many parts of economics. For these parameter-dependent problems they present differentiability properties for the optimal value function by applying recently established multiplier rules. Furthermore, they show the continuity of the corresponding multipliers and state new results on the involved functionals under an integral form.

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Cited in

(9)

• Differentiability of the value function in continuous-time economic models
• Envelope theorems in Banach lattices and asset pricing
• Comparative Dynamics via Envelope Methods in Variational Calculus
• Envelope Theorems for Arbitrary Choice Sets
• Envelope theorems in dynamic programming
• An infinity of inequality constraints in variational problems
• Pontryagin principle and envelope theorem
• The envelope theorem in dynamic optimization
• A nonsmooth approach to envelope theorems

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