Differentiability of the value function and Euler equation in non-concave discrete-time stochastic dynamic programming
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DOI: 10.1007/s40505-019-00166-4
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Keywords
Dynamic programming; Euler equation; Envelope Theorem;All these keywords.
JEL classification:
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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