Differentiability of the value function in continuous-time economic models

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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 2010-10-04T10:17:55Z
dc.date.available 2010-10-04T10:17:55Z
dc.date.issued 2010-09
dc.identifier.issn 2340-5031
dc.identifier.uri http://hdl.handle.net/10016/9341
dc.description.abstract In this paper we provide some sufficient conditions for the differentiability of the value function in a class of infinite-horizon continuous—time models of convex optimization arising in economics. We dispense with an interioiity condition which is quite restrictive in constrained optimization and it is usually hard to check in applications. The differentiability of the value function is used to prove Bellman's equation as well as the existence and continuity of the optimal feedback policy. We also establish uniqueness of the vector of dual variables under some conditions that rule out existence of asset pricing bubbles.
dc.format.mimetype application/octet-stream
dc.format.mimetype application/octet-stream
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Economics
dc.relation.ispartofseries 10-22
dc.relation.hasversion http://hdl.handle.net/10016/15635
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 function
dc.subject.other Differentiability
dc.subject.other Envelope theorem
dc.subject.other Duality theory
dc.title Differentiability of the value function in continuous-time economic models
dc.type workingPaper
dc.subject.jel C61
dc.subject.jel E20
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
dc.type.version submitedVersion
dc.identifier.repec we1022
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