RT Generic
T1 Differentiability of the value function in continuous-time economic models
A1 Rincón-Zapatero, Juan Pablo
A1 Santos, Manuel S.
A2 Universidad Carlos III de Madrid. Departamento de Economía, 
AB In this paper we provide some sufficient conditions for the differentiabilityof the value function in a class of infinite-horizon continuous—time models of convexoptimization 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.
SN 2340-5031
YR 2010
FD 2010-09
LK https://hdl.handle.net/10016/9341
UL https://hdl.handle.net/10016/9341
LA eng
DS e-Archivo
RD 1 sept. 2024