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

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dc.contributor.author Rincón-Zapatero, Juan Pablo
dc.date.accessioned 2022-01-21T19:09:35Z
dc.date.available 2022-01-21T19:09:35Z
dc.date.issued 2019-03-25
dc.identifier.bibliographicCitation Rincón 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.
dc.identifier.issn 2196-1085
dc.identifier.uri http://hdl.handle.net/10016/33936
dc.description.abstract We 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.
dc.description.sponsorship Support 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.
dc.language.iso eng
dc.publisher Springer
dc.rights © Springer
dc.subject.other Dynamic programming
dc.subject.other Euler equation
dc.subject.other Envelope theorem
dc.title Differentiability of the value function and Euler equation in non-concave discrete time stochastic dynamic programming
dc.type article
dc.subject.jel C60
dc.subject.jel C61
dc.subject.eciencia Economía
dc.identifier.doi https://doi.org/10.1007/s40505-019-00166-4
dc.rights.accessRights openAccess
dc.relation.projectID Gobierno de España. ECO2014-56384-P
dc.relation.projectID Comunidad de Madrid. S2015/HUM-3444
dc.relation.projectID Gobierno de España. ECO2017-86261-P
dc.type.version acceptedVersion
dc.identifier.publicationfirstpage 79
dc.identifier.publicationlastpage 88
dc.identifier.publicationtitle Economic Theory Bulletin
dc.identifier.publicationvolume 8
dc.identifier.uxxi AR/0000029201
dc.contributor.funder Ministerio de Economía, Industria y Competitividad (España)
dc.contributor.funder Comunidad de Madrid
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