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On the policy function in continuos time economic models

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  • Santos, Manuel S.

Abstract

In this paper, I consider a general class of continuous-time economic models with unbounded horizon. I study the sets of conditions under which the policy function is continuous, Lipschitz continuous, and Cl differentiable. 1 also single out certain postulates which may prevent higher-order differentiability. The analysis provides, therefore, a fmn foundation to the use of dynamic programming methods in continuous time models with unbounded horizon

Suggested Citation

  • Santos, Manuel S., 1991. "On the policy function in continuos time economic models," UC3M Working papers. Economics 2763, Universidad Carlos III de Madrid. Departamento de Economía.
    • Handle: RePEc:cte:werepe:2763
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    References listed on IDEAS

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    1. Levhari, David & Liviatan, Nissan, 1972. "On stability in the saddle-point sense," Journal of Economic Theory, Elsevier, vol. 4(1), pages 88-93, February.
    2. Santos, M.S., 1989. "Differentiability And Comparative Analysis In Discrete-Time Infinite-Horizon Optimization Problems," UFAE and IAE Working Papers 127-89, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    3. Kehoe, Timothy J. & Levine, David K. & Romer, Paul M., 1990. "Determinacy of equilibria in dynamic models with finitely many consumers," Journal of Economic Theory, Elsevier, vol. 50(1), pages 1-21, February.
    4. Montrucchio, Luigi, 1987. "Lipschitz continuous policy functions for strongly concave optimization problems," Journal of Mathematical Economics, Elsevier, vol. 16(3), pages 259-273, June.
    5. Santos, M.S. & Vila, J-L., 1988. "Smoothness Of Policy Function In Continuous Time Economic Models: The One Dimensional Case," UFAE and IAE Working Papers 112-89, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
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