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On Lipschitz continuity of policy functions in continuous-time optimal growth models

  • Maria Luisa Gota

    (Department of Applied Mathematics, University of Turin, Piazza Arbarello, 8, I-10122 Turin, ITALY)

  • Luigi Montrucchio

    (Department of Applied Mathematics, University of Turin, Piazza Arbarello, 8, I-10122 Turin, ITALY)

This paper proves the C1,1 differentiability of the value function for continuous time concave dynamic optimization problems, under the assumption that the instantaneous utility is C1,1 and the initial segment of optimal solutions is interior. From this result, the Lipschitz dependence of optimal solutions on initial data and the Lipschitz continuity of the policy function are derived, by adding an assumption of strong concavity of the integrand.

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Article provided by Springer in its journal Economic Theory.

Volume (Year): 14 (1999)
Issue (Month): 2 ()
Pages: 479-488

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Handle: RePEc:spr:joecth:v:14:y:1999:i:2:p:479-488
Note: Received: July 29, 1996; revised version: November 25, 1997
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