Publication:
Differentiability of the value function and Euler equation in non-concave discrete time stochastic dynamic programming

dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorRincón-Zapatero, Juan Pablo
dc.contributor.funderMinisterio de Economía, Industria y Competitividad (España)es
dc.contributor.funderComunidad de Madrides
dc.date.accessioned2022-01-21T19:09:35Z
dc.date.available2022-01-21T19:09:35Z
dc.date.issued2019-03-25
dc.description.abstractWe consider a stochastic, non-concave dynamic programming problem admitting interior solutions and prove, under mild conditions, that the expected value function is differentiable along optimal paths. This property allows us to obtain rigorously the Euler equation as a necessary condition of optimality for this class of problems.es
dc.description.sponsorshipSupport from the Ministerio de Economía, Industria y Competitividad (Spain), Grants ECO2017-86261-P, ECO2014-56384-P and MDM 2014-0431, and from the Comunidad de Madrid, Grant MadEco-CM S2015/HUM-3444 is gratefully acknowledged.en
dc.identifier.bibliographicCitationRincón Zapatero, J.P. (2019). Differentiability of the value function and Euler equation in non-concave discrete-time stochastic dynamic programming. Economic Theory Bulletin, 8, pp. 79-88.es
dc.identifier.doihttps://doi.org/10.1007/s40505-019-00166-4
dc.identifier.issn2196-1085
dc.identifier.publicationfirstpage79es
dc.identifier.publicationlastpage88es
dc.identifier.publicationtitleEconomic Theory Bulletinen
dc.identifier.publicationvolume8es
dc.identifier.urihttps://hdl.handle.net/10016/33936
dc.identifier.uxxiAR/0000029201
dc.language.isoenges
dc.publisherSpringeres
dc.relation.projectIDGobierno de España. ECO2014-56384-Pes
dc.relation.projectIDComunidad de Madrid. S2015/HUM-3444es
dc.relation.projectIDGobierno de España. ECO2017-86261-Pes
dc.rights© Springeres
dc.rights.accessRightsopen accesses
dc.subject.ecienciaEconomíaes
dc.subject.jelC60
dc.subject.jelC61
dc.subject.otherDynamic programmingen
dc.subject.otherEuler equationen
dc.subject.otherEnvelope theoremen
dc.titleDifferentiability of the value function and Euler equation in non-concave discrete time stochastic dynamic programmingen
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
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