Rincón-Zapatero, Juan Pablo2022-01-212022-01-212019-03-25Rincón 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. 79-88.2196-1085https://hdl.handle.net/10016/33936We 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.eng© SpringerDynamic programmingEuler equationEnvelope theoremDifferentiability of the value function and Euler equation in non-concave discrete time stochastic dynamic programmingresearch articleC60C61Economíahttps://doi.org/10.1007/s40505-019-00166-4open access7988Economic Theory Bulletin8AR/0000029201