Differentiability of the value function in continuous-time economic models

DOI10.1016/j.jmaa.2012.04.056zbMath1251.91046OpenAlexW1522371595MaRDI QIDQ439265

Juan Pablo Rincón-Zapatero, Manuel S. Santos

Publication date: 1 August 2012

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2012.04.056

zbMATH Keywords

differentiabilityvalue functionBellman's equationshadow priceenvelope theoreminfinite-horizon problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Macroeconomic theory (monetary models, models of taxation) (91B64) Dynamic programming (90C39) Duality theory (optimization) (49N15) Existence theories for problems in abstract spaces (49J27)

Related Items (3)

Value Functions and Optimality Conditions for Nonconvex Variational Problems with an Infinite Horizon in Banach Spaces ⋮ Rational taxation in an open access fishery model ⋮ Envelope theorems for static optimization and calculus of variations

Cites Work

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