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The envelope theorem in dynamic optimization

Author

Listed:
  • 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

  • Barney, L. Dwayne & LaFrance, Jeffrey T., "undated". "The envelope theorem in dynamic optimization," Archive 259398, Montana State University, Department of Agricultural Economics and Economics.
    • Handle: RePEc:ags:msuarc:259398
    DOI: 10.22004/ag.econ.259398
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    References listed on IDEAS

    as
    1. Silberberg, Eugene, 1971. "The le chatelier principle as a corollary to a generalized envelope theorem," Journal of Economic Theory, Elsevier, vol. 3(2), pages 146-155, June.
    2. Cooper, Russel J & McLaren, Keith R, 1980. "Atemporal, Temporal and Intertemporal Duality in Consumer Theory," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(3), pages 599-609, October.
    3. Epstein, Larry G., 1978. "The Le Chatelier Principle in optimal control problems," Journal of Economic Theory, Elsevier, vol. 19(1), pages 103-122, October.
    4. Silberberg, Eugene, 1974. "A revision of comparative statics methodology in economics, or, how to do comparative statics on the back of an envelope," Journal of Economic Theory, Elsevier, vol. 7(2), pages 159-172, February.
    5. Larry G. Epstein, 1981. "Duality Theory and Functional Forms for Dynamic Factor Demands," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 48(1), pages 81-95.
    6. Epstein, Larry G & Denny, Michael G S, 1983. "The Multivariate Flexible Accelerator Model: Its Empirical Restrictions and an Application to U.S. Manufacturing," Econometrica, Econometric Society, vol. 51(3), pages 647-674, May.
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