On Lipschitz continuity of policy functions in continuous-time optimal growth models

This paper proves the C1,1 differentiability of the value function for continuous time concave dynamic optimization problems, under the assumption that the instantaneous utility is C1,1 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.

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Year of publication:	1999-08-24
Authors:	Gota, Maria Luisa ; Montrucchio, Luigi
Published in:	Economic Theory. - Springer. - Vol. 14.1999, 2, p. 479-488
Publisher:	Springer
Subject:	Optimal growth Policy functions

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Extent:	application/pdf
Type of publication:	Article
Notes:	Received: July 29, 1996; revised version: November 25, 1997
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; O41 - One, Two, and Multisector Growth Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005596609