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Differentiability of the value function without interiority assumptions

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorRincón-Zapatero, Juan Pablo
dc.contributor.authorSantos, Manuel S.
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economía
dc.date.accessioned2007-03-23T17:04:50Z
dc.date.accessioned2010-02-01T12:59:57Z
dc.date.available2007-03-23T17:04:50Z
dc.date.available2010-02-01T12:59:57Z
dc.date.issued2007-03
dc.description.abstractThis paper studies first-order differentiability properties of the value function in concave dynamic programs. Motivated by economic considerations, we dispense with commonly imposed interiority assumptions. We suppose that the correspondence of feasible choices varies with the vector of state variables, and we allow the optimal solution to belong to the boundary of this correspondence. Under minimal assumptions we show that the value function is continuously differentiable. We then discuss this result in the context of several economic models.
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dc.identifier.issn2340-5031
dc.identifier.repecwe071405
dc.identifier.urihttps://hdl.handle.net/10016/668
dc.language.isoeng
dc.relation.hasversionhttp://hdl.handle.net/10016/5580
dc.relation.ispartofseriesUC3M Working papers. Economics
dc.relation.ispartofseries07-05
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEconomía
dc.subject.otherConstrained optimization
dc.subject.otherValue and policy functions
dc.subject.otherDifferentiability
dc.subject.otherEnvelope theorem
dc.subject.otherShadow price
dc.titleDifferentiability of the value function without interiority assumptions
dc.typeworking paper*
dc.type.hasVersionSMUR*
dspace.entity.typePublication
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