SMOOTHNESS OF THE POLICY FUNCTION IN DISCRETE-TIME ECONOMIC-MODELS

被引:55
作者
SANTOS, MS [1 ]
机构
[1] CSIC,INST ANAL ECON,BARCELONA,SPAIN
关键词
DIFFERENTIABILITY; DYNAMIC PROGRAMMING; VALUE FUNCTION; POLICY FUNCTION; BELLMAN EQUATION; QUADRATIC OPTIMIZATION;
D O I
10.2307/2938371
中图分类号
F [经济];
学科分类号
02 ;
摘要
The theory applying to dynamic programming has furnished a useful set of techniques for the analysis of many types of sequential models. This theory, however, has not yielded heretofore much information about the differentiability properties of optimal solutions. This aspect is of particular interest as regards the qualitative analysis of optimal paths, where differentiable methods are often called into play. This paper shows roughly that if the objective is twice continuously differentiable and strongly concave, then any interior optimal path is continuously differentiable with respect to the initial state.
引用
收藏
页码:1365 / 1382
页数:18
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