Differentiability of the Value Function in Continuous–Time Economic Models
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- Rincón-Zapatero, Juan Pablo & Santos, Manuel S., 2010. "Differentiability of the value function in continuous-time economic models," UC3M Working papers. Economics we1022, Universidad Carlos III de Madrid. Departamento de Economía.
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- Bruno Strulovici & Martin Szydlowski, 2012. "On the Smoothness of Value Functions," Discussion Papers 1542, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Strulovici, Bruno & Szydlowski, Martin, 2015. "On the smoothness of value functions and the existence of optimal strategies in diffusion models," Journal of Economic Theory, Elsevier, vol. 159(PB), pages 1016-1055.
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KeywordsConstrained optimization; value function; differentiability; envelope therem; duality theory.;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
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