Differentiability of the value function and Euler equation in non-concave discrete-time stochastic dynamic programming View Full Text


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Article Info

DATE

2019-03-25

AUTHORS

Juan Pablo Rincón-Zapatero

ABSTRACT

We consider a stochastic, non-concave dynamic programming problem admitting interior solutions and prove, under mild conditions, that the expected value function is differentiable along optimal paths. This property allows us to obtain rigorously the Euler equation as a necessary condition of optimality for this class of problems.

PAGES

1-10

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s40505-019-00166-4

DOI

http://dx.doi.org/10.1007/s40505-019-00166-4

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1112989393


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