The envelope theorem in dynamic optimization

L. Dwayne Barney and Jeffrey T. LaFrance

No 259398, Archive from Montana State University, Department of Agricultural Economics and Economics

Abstract: This paper is concerned with the effects of a change in an exogenous parameter on a control problem's optimal performance function. A dynamic envelope theorem is obtained which generalizes and relates results from earlier studies. The theorem derived is applied to a problem of dynamic lifetime consumption theory, giving rise to an intertemporal analogue of the Slutsky equation.

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Pages: 20
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Persistent link: https://EconPapers.repec.org/RePEc:ags:msuarc:259398

DOI: 10.22004/ag.econ.259398

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