A nonsmooth approach to envelope theorems

DOI10.1016/J.JMATECO.2015.09.001zbMATH Open1368.90150OpenAlexW3123115993MaRDI QIDQ898680FDOQ898680

Authors Kevin Reffett, Suchismita Tarafdar, Olivier F. Morand 

Publication date 18 December 2015

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmateco.2015.09.001

zbMATH Keywords

nonsmooth analysisstochastic growthlattice programmingconstrained otimization with nonconvexitiesenvelope theorems

Mathematics Subject Classification ID

Convex programming (90C25) Nonlinear programming (90C30) Nonsmooth analysis (49J52) Economic growth models (91B62)

Recommendations

• Generalized envelope theorems: applications to dynamic programming
• Envelope theorems for static optimization and calculus of variations
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Cites work

• scientific article; zbMATH DE number 3427125 (Why is no real title available?)
• scientific article; zbMATH DE number 1502618 (Why is no real title available?)
• scientific article; zbMATH DE number 3320765 (Why is no real title available?)
• scientific article; zbMATH DE number 3048439 (Why is no real title available?)
• Differentiability of the value function of nonclassical optimal growth models
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• Differentiable stability in non convex and non differentiable programming
• Differential Stability in Nonlinear Programming
• Differential properties of the marginal function in mathematical programming
• Envelope Theorems for Arbitrary Choice Sets
• Generalized Gradients and Applications
• Lagrange multipliers and subderivatives of optimal value functions in nonlinear programming
• On optimal growth under uncertainty
• On the Differentiability of the Value Function in Dynamic Models of Economics
• On the subdifferential of the value function in economic optimization problems
• On uniqueness of Kuhn-Tucker multipliers in nonlinear programming
• Optimization and nonsmooth analysis
• Real analysis
• Stochastic Monotonicity and Stationary Distributions for Dynamic Economies
• The Comparative Statics of Constrained Optimization Problems

Cited in

(12)

• Envelopes and nonconvex Hamilton-Jacobi equations
• Envelope Theorems for Arbitrary Choice Sets
• On the (non-)differentiability of the optimal value function when the optimal solution is unique
• The envelope theorem, Euler and Bellman equations, without differentiability
• The effect of interest rates on consumption in an income fluctuation problem
• The converse envelope theorem
• Generalized envelope theorems: applications to dynamic programming
• Posterior distribution of nondifferentiable functions
• Moreau Envelope of Supremum Functions with Applications to Infinite and Stochastic Programming
• On the Envelope of a Variational Inequality
• On envelopes and backward approximations
• COMPUTING THE CONVEX ENVELOPE USING A NONLINEAR PARTIAL DIFFERENTIAL EQUATION

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