Differentiability of the value function in continuous-time economic models
DOI10.1016/J.JMAA.2012.04.056zbMATH Open1251.91046OpenAlexW1522371595MaRDI QIDQ439265FDOQ439265
Authors: Juan Pablo Rincón-Zapatero, Manuel S. Santos 
Publication date: 1 August 2012
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2012.04.056
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differentiabilityvalue functionenvelope theoremBellman's equationinfinite-horizon problemshadow price
Macroeconomic theory (monetary models, models of taxation) (91B64) Dynamic programming (90C39) Dynamic programming in optimal control and differential games (49L20) Duality theory (optimization) (49N15) Existence theories for problems in abstract spaces (49J27)
Cites Work
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- Integrals which are convex functionals. II
- On the Differentiability of the Value Function in Dynamic Models of Economics
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- Differentiability of the value function without interiority assumptions
- Differential properties of the marginal function in mathematical programming
- Duality theory for dynamic optimization models of economics: The continuous time case
- Sensitivity analysis of multisector optimal economic dynamics
- Maximum principle and transversality condition for concave infinite horizon economic models
- Differentiability and comparative analysis in discrete-time infinite- horizon optimization
- Differentiability of the value function of nonclassical optimal growth models
- Regularity of the optimal feedback and the value function in convex problems of optimal control
- Non-concave dynamic programming
- Generalized Hamiltonian equations for convex problems of Lagrange
Cited In (18)
- Envelope theorem in dynamic economic models with recursive utility
- Continuity and differentiability of expected value functions in dynamic discrete choice models
- Envelope theorems for static optimization and calculus of variations
- Comparative dynamics in stochastic models with respect to the \(L^{\infty }\)-\(L^{\infty }\) duality: a differential approach
- Smoothness of the policy function in continuous-time economic models. The one-dimensional case
- On the (non-)differentiability of the optimal value function when the optimal solution is unique
- Value functions and optimality conditions for nonconvex variational problems with an infinite horizon in Banach spaces
- Subdifferentiability of the value function in economic problems
- Smooth dynamics and computation in models of economic growth
- Title not available (Why is that?)
- Differentiability of the value function without interiority assumptions
- Approximating the stationary Bellman equation by hierarchical tensor products
- Differentiability and comparative analysis in discrete-time infinite- horizon optimization
- Differentiability of the value function of nonclassical optimal growth models
- On the smoothness of value functions and the existence of optimal strategies in diffusion models
- Rational taxation in an open access fishery model
- Monetary equilibrium and the differentiability of the value function
- Differentiability of equilibria for linear exchange economies
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