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The envelope theorem in dynamic optimization

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  • Barney, L. Dwayne
  • LaFrance, Jeffrey T.

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.

Suggested Citation

Handle: RePEc:ags:msuarc:259398
DOI: 10.22004/ag.econ.259398
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