Differentiability of the value function without interiority assumptions
From MaRDI portal
Publication:840678
DOI10.1016/j.jet.2009.02.006zbMath1195.90092MaRDI QIDQ840678
Juan Pablo Rincón-Zapatero, Manuel S. Santos
Publication date: 14 September 2009
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10016/5580
differentiability; constrained optimization; shadow price; envelope theorem; value and policy functions
90C26: Nonconvex programming, global optimization
91B64: Macroeconomic theory (monetary models, models of taxation)
90C39: Dynamic programming
Related Items
Differentiability of the value function in continuous-time economic models, Fiat money and the value of binding portfolio constraints
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Duality theory for dynamic optimization models of economics: The continuous time case
- On optimal growth under uncertainty
- On the Differentiability of the Value Function in Dynamic Models of Economics
- Asset Prices in an Exchange Economy
- Foreign Direct Investment and the Risk of Expropriation
- Rational Asset Pricing Bubbles
- Sequential Equilibria in a Ramsey Tax Model
- Envelope Theorems for Arbitrary Choice Sets
- Implications of Efficient Risk Sharing without Commitment
- On fragility of bubbles in equilibrium asset pricing models of Lucas-type
