کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
6419133 | 1339372 | 2012 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Differentiability of the value function in continuous-time economic models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آنالیز ریاضی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper we provide some sufficient conditions for the differentiability of the value function in a class of infinite-horizon continuous-time models of convex optimization arising in economics. We dispense with the assumption of interior optimal paths. This assumption is quite unnatural in constrained optimization, and is usually hard to check in applications. The differentiability of the value function is used to prove Bellman's equation as well as the existence and continuity of the optimal feedback policy. We also establish the uniqueness of the vector of dual variables. These results become useful for the characterization and computation of optimal solutions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Analysis and Applications - Volume 394, Issue 1, 1 October 2012, Pages 305-323
Journal: Journal of Mathematical Analysis and Applications - Volume 394, Issue 1, 1 October 2012, Pages 305-323
نویسندگان
Juan Pablo Rincón-Zapatero, Manuel S. Santos,