Differentiability of the value function without interiority assumptions

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dc.contributor.author Rincón-Zapatero, Juan Pablo
dc.contributor.author Santos, Manuel S.
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía
dc.date.accessioned 2007-03-23T17:04:50Z
dc.date.accessioned 2010-02-01T12:59:57Z
dc.date.available 2007-03-23T17:04:50Z
dc.date.available 2010-02-01T12:59:57Z
dc.date.issued 2007-03
dc.identifier.issn 2340-5031
dc.identifier.uri http://hdl.handle.net/10016/668
dc.description.abstract This 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.
dc.format.mimetype application/pdf
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dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Economics
dc.relation.ispartofseries 07-05
dc.relation.hasversion http://hdl.handle.net/10016/5580
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Constrained optimization
dc.subject.other Value and policy functions
dc.subject.other Differentiability
dc.subject.other Envelope theorem
dc.subject.other Shadow price
dc.title Differentiability of the value function without interiority assumptions
dc.type workingPaper
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
dc.type.version submitedVersion
dc.identifier.repec we071405
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