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Envelope theorem in dynamic economic models with recursive utility

Juan Pablo Rincón-Zapatero () and Yanyun Zhao

Economics Letters, 2018, vol. 163, issue C, 10-12

Abstract: This paper investigates the first-order differentiability properties of the value function in dynamic economic models with recursive preferences where the optimal policy may lie at the boundary of the feasible set under several regular assumptions originating from the static optimization theory plus an additional asymptotic condition.

Keywords: First-order differentiability; Dynamic economic models; Recursive utility (search for similar items in EconPapers)
JEL-codes: C60 C61 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.econlet.2017.11.018

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