On Lipschitz continuity of policy functions in continuous-time optimal growth models |
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Authors: | Maria Luisa Gota Luigi Montrucchio |
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Affiliation: | (1) Department of Applied Mathematics, University of Turin, Piazza Arbarello, 8, I-10122 Turin, ITALY, IT |
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Abstract: | Summary. This paper proves the C 1,1 differentiability of the value function for continuous time concave dynamic optimization problems, under the assumption that the instantaneous utility is C 1,1 and the initial segment of optimal solutions is interior. From this result, the Lipschitz dependence of optimal solutions on initial data and the Lipschitz continuity of the policy function are derived, by adding an assumption of strong concavity of the integrand. Received: July 29, 1996; revised version: November 25, 1997 |
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Keywords: | and Phrases: Optimal growth Policy functions. |
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