Differentiability of the value function without interiority assumptions

Manuel S. Santos
Authors registered in the RePEc Author Service: Juan Pablo Rincón-Zapatero

UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía

Abstract: This paper studies first-order differentiability properties of the value function in concave dynamic programs. Motivated by economic considerations, we dispense with commonly imposed interiority assumptions. We suppose that the correspondence of feasible choices varies with the vector of state variables, and we allow the optimal solution to belong to the boundary of this correspondence. Under minimal assumptions we show that the value function is continuously differentiable. We then discuss this result in the context of several economic models.

Keywords: Constrained; optimization; Value; and; policy; functions; Differentiability; Envelope; theorem; Shadow; price (search for similar items in EconPapers)
Date: 2007-03
New Economics Papers: this item is included in nep-dge
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: Differentiability of the value function without interiority assumptions (2009)
Working Paper: Differentiability of the Value Function without Interiority Assumptions (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:werepe:we071405

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