Smoothness of the policy function in continuous-time economic models. The one-dimensional case

Manuel S. Santos; Jean Luc Vila

doi:10.1016/0165-1889(91)90042-Y

Smoothness of the policy function in continuous-time economic models. The one-dimensional case

Manuel S. Santos, Jean Luc Vila

Research output: Contribution to journal › Article › peer-review

6 Scopus citations

Abstract

Infinite-horizon continuous-time optimization is often encountered in economic models. Herein we prove the C¹ differentiability of the policy function when the objective is strongly concave and the state is unidimensional.

Original language	English (US)
Pages (from-to)	741-753
Number of pages	13
Journal	Journal of Economic Dynamics and Control
Volume	15
Issue number	4
DOIs	https://doi.org/10.1016/0165-1889(91)90042-Y
State	Published - Oct 1991
Externally published	Yes

ASJC Scopus subject areas

Economics and Econometrics
Control and Optimization
Applied Mathematics

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10.1016/0165-1889(91)90042-Y

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title = "Smoothness of the policy function in continuous-time economic models. The one-dimensional case",

abstract = "Infinite-horizon continuous-time optimization is often encountered in economic models. Herein we prove the C1 differentiability of the policy function when the objective is strongly concave and the state is unidimensional.",

author = "Santos, {Manuel S.} and Vila, {Jean Luc}",

note = "Funding Information: *Manuel Santos gratefully acknowledges material support from the Comision Asesora de Investigacidn Cientifica y Ticnica, Grant ID 87075. Jean-Luc Vila{\textquoteright}s research was initiated while he was a member of the faculty of the Stern School of Business, New York University, visiting the Institut d{\textquoteright}Anllisi Economica.",

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T1 - Smoothness of the policy function in continuous-time economic models. The one-dimensional case

AU - Santos, Manuel S.

AU - Vila, Jean Luc

N1 - Funding Information: *Manuel Santos gratefully acknowledges material support from the Comision Asesora de Investigacidn Cientifica y Ticnica, Grant ID 87075. Jean-Luc Vila’s research was initiated while he was a member of the faculty of the Stern School of Business, New York University, visiting the Institut d’Anllisi Economica.

PY - 1991/10

Y1 - 1991/10

N2 - Infinite-horizon continuous-time optimization is often encountered in economic models. Herein we prove the C1 differentiability of the policy function when the objective is strongly concave and the state is unidimensional.

AB - Infinite-horizon continuous-time optimization is often encountered in economic models. Herein we prove the C1 differentiability of the policy function when the objective is strongly concave and the state is unidimensional.

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DO - 10.1016/0165-1889(91)90042-Y

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