On the Differentiability of the Value Function in Dynamic Models of Economics
From MaRDI portal
Publication:3875662
DOI10.2307/1910417zbMath0435.90031OpenAlexW2094603935WikidataQ56593077 ScholiaQ56593077MaRDI QIDQ3875662
José Alexandre Scheinkman, Lawrence M. Benveniste
Publication date: 1979
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1910417
shadow pricesdiscrete time casedifferentiability of the value functioncontinuous time caseapplications of calculus of variation
Related Items
Equilibrium and Competitive Equilibrium in a Discrete-Time Lucas Model, Value Functions and Optimality Conditions for Nonconvex Variational Problems with an Infinite Horizon in Banach Spaces, REGULATING INSURANCE MARKETS: MULTIPLE CONTRACTING AND ADVERSE SELECTION, On the fragility of the basis on the Hamilton-Jacobi-Bellman equation in economic dynamics, Loss of monetary discretion in a simple dynamic policy game, Smooth dynamics and computation in models of economic growth, Loss of monetary discretion in a simple dynamic policy game, Smooth dynamics and computation in models of economic growth, Discounting and long-run behavior: Global bifurcation analysis of a family of dynamical systems, Shape-preserving computation in economic growth models, Debt-contingent inflation contracts and targets, Unnamed Item, Subdifferentials of Nonconvex Integral Functionals in Banach Spaces with Applications to Stochastic Dynamic Programming, Dynamic moral hazard without commitment, Optimal control without solving the Bellman equation, The effect of interest rates on consumption in an income fluctuation problem, Optimal production of innovations under uncertainty, Recursive utility and optimal capital accumulation. II: Sensitivity and duality theory, Turning from crime: a dynamic perspective, On high-order differentiability of the policy function, Differentiability of the value function without interiority assumptions, Costate variables correctly value stocks at each instant, A new turnpike theorem for discounted programs, Recursive equilibrium with price perfect foresight and a minimal state space, Restricted limiting subdifferential and applications, Impatience and long-run growth, Open-loop and closed-loop equilibria in dynamic games with many players, Optimale Innovationspolitik bei unvollständiger Information. (Optimal innovation policy under incomplete information), Strong concavity properties of indirect utility functions in multisector optimal growth models, Ex ante payments in self-enforcing risk-sharing contracts, Optimal growth with many consumers, A value function arising in the economics of information, Two-stage optimal control problems with an explicit switch point dependence. Optimality criteria and an example of delivery lags and investment, Reverse calculus and nested optimization, Rational expectations and the theory of aggregate investment, A note on the envelope theorem, The cost function given imperfectly flexible capital, Pricing of non-redundant derivatives in a complete market, Uniqueness of equilibrium in a Bewley-Aiyagari model, Existence of a competitive equilibrium in the Lucas (1988) model without physical capital, Strategic interaction and dynamics under endogenous time preference, Non-concave dynamic programming, Optimal taxation and finite horizon, The Hopf bifurcation and the existence and stability of closed orbits in multisector models of optimal economic growth, Optimal contracting with dynastic altruism: family size and per capita consumption, A sensitivity analysis on optimal economic growth, Dynamic contractual incentives in the face of a Samaritans's dilemma, A natural extension of the classical envelope theorem in vector differential programming, Lipschitz recursive equilibrium with a minimal state space and heterogeneous agents, A nonsmooth approach to envelope theorems, On the smoothness of value functions and the existence of optimal strategies in diffusion models, On the basis of the Hamilton-Jacobi-Bellman equation in economic dynamics, A monetary theory with non-degenerate distributions, Hopf bifurcation and the existence and stability of closed orbits in three-sector models of optimal endogenous growth, Differentiability of the value function in continuous-time economic models, On uniqueness of a steady state and convergence of optimal paths in multisector models of optimal growth with a discount rate, A version of the Euler equation in discounted Markov decision processes, No profitable decompositions in quasi-linear allocation problems, Identification and testable implications of the Ramsey-Cass-Koopmans model, Approximate dynamic programming for stochastic \(N\)-stage optimization with application to optimal consumption under uncertainty, Duality theory for dynamic optimization models of economics: The continuous time case, Smoothness of the policy function in continuous-time economic models. The one-dimensional case, Controlling a biological invasion: a non-classical dynamic economic model, Takeoff vs. stagnation in endogenous recombinant growth models, Coase meets Bellman: dynamic programming for production networks, The envelope theorem, Euler and Bellman equations, without differentiability, Envelope theorems in Banach lattices and asset pricing, A turnpike theorem for continuous-time optimal-control models, Path-dependence in a Ramsey model with resource amenities and limited regeneration, On the (non-)differentiability of the optimal value function when the optimal solution is unique, Tax schemes in a class of differential games, Differentiability and comparative analysis in discrete-time infinite- horizon optimization, Specialization and non-renewable resources: Ricardo meets Ricardo, The optimal management of renewable resources under the risk of potential regime shift, Generalized envelope theorems: applications to dynamic programming, Dynamic programming with state-dependent discounting, Bank capital, fire sales, and the social value of deposits, Periodic learning about a hidden state variable, Sustainability and discounted utilitarianism in models of economic growth, An envelope theorem and some applications to discounted Markov decision processes, Dynamic optimization in non-convex models with irreversible investment: Monotonicity and turnpike results, Existence, optimality and dynamics of equilibria with endogenous time preference, The concavity of the value function of the extended Barro-Becker model, Monetary equilibrium and the differentiability of the value function, Endogenous time preference and optimal growth, Switching from oil to gas production in a depleting field, On shared use of renewable stocks, Envelope theorem in dynamic economic models with recursive utility, Equilibrium storage with multiple commodities, Solving Ramsey Problems with Nonlinear Projection Methods, A time consistent dynamic bargaining procedure in differential games with heterogeneous discounting, Value and Policy Function Approximations in Infinite-Horizon Optimization Problems, Structure of Pareto optima in an infinite-horizon economy where agents have recursive preferences, Differentiability of the value function of nonclassical optimal growth models, Income fluctuation and asymmetric information: An example of a repeated principal-agent problem, Maximin growth paths with recursive preferences: A complete characterization, On the subdifferential of the value function in economic optimization problems, Sensitivity analysis of multisector optimal economic dynamics, Sources of complex dynamics in two-sector growth models, The distribution of wealth with imperfect altruism, Envelope theorems for static optimization and calculus of variations, A primal route to the turnpike and Lyapunov stability, Characterization of optimal plans for stochastic dynamic programs, A complete characterization of optimal growth paths in an aggregated model with a non-concave production function, Induced preferences and the theory of the consumer, Decreasing absolute risk aversion and utility indices derived from cake- eating problems, Optimal inventories and equilibrium price behavior, Optimal growth and Pareto optimality, The envelope theorem in dynamic optimization, Observational equivalence of the overlapping generations and the discounted dynamic programming frameworks for one-sector growth, Comparative statics in dynamic programming models with an application to job search, On the Bellman equation of the overtaking criterion: Addendum, Optimal growth and recursive utility: Phase diagram analysis
