RT Journal Article
T1 Differentiability of the value function and Euler equation in non-concave discrete time stochastic dynamic programming
A1 Rincón-Zapatero, Juan Pablo
AB 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.
PB Springer
SN 2196-1085
YR 2019
FD 2019-03-25
LK https://hdl.handle.net/10016/33936
UL https://hdl.handle.net/10016/33936
LA eng
NO 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.
DS e-Archivo
RD 27 jul. 2024