Lipschitz continuous policy functions for strongly concave optimization problems
type: Item
instance of: scholarly article
title: Lipschitz continuous policy functions for strongly concave optimization problems
zbMATH Open document ID: 0636.90077
DOI: 10.1016/0304-4068(87)90012-7
author: Luigi Montrucchio
published in: Journal of Mathematical Economics
publication date: 1987-01-01T00:00:00Z
full work available at URL: http://hdl.handle.net/1814/23079
review text: We prove that the policy function, obtained by optimizing a discounted infinite sum of stationary return functions, is Lipschitz continuous when the instantaneous function is strongly concave. Moreover, by using the notion of \(\alpha\)-concavity, we provide an estimate of the Lipschitz constant which turns out to be a decreasing function of the discount factor.
Mathematics Subject Classification ID: 90C30
Mathematics Subject Classification ID: 91B62
zbMATH DE Number: 4037619
zbMATH Keywords: discounted infinite sum of stationary return functions
zbMATH Keywords: Lipschitz continuous
zbMATH Keywords: \(\alpha \)-concavity
MaRDI profile type: Publication
OpenAlex ID: W2014832088
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description: scientific article; zbMATH DE number 4037619