Search Results - subject:"First-order conditions"

A Knightian irreversible investment problem

Ferrari, Giorgio; Li, Hanwu; Riedel, Frank - 2020

In this paper, we study an irreversible investment problem under Knightian uncertainty. In a general framework, in which Knightian uncertainty is modeled through a set of multiple priors, we prove existence and uniqueness of the optimal investment plan, and derive necessary and sufficient...

Persistent link: https://www.econbiz.de/10012388851

A Knightian irreversible investment problem

Ferrari, Giorgio; Li, Hanwu; Riedel, Frank - 2020

Persistent link: https://www.econbiz.de/10012198652

On a class of infinite-dimensional singular stochastic control problems

Federico, Salvatore; Ferrari, Giorgio; Riedel, Frank; … - 2019

process. We then exploit the concave structure of our problem and derive necessary and sufficient first-order conditions for …

Persistent link: https://www.econbiz.de/10012042153

On a class of infinite-dimensional singular stochastic control problems

Federico, Salvatore; Ferrari, Giorgio; Riedel, Frank; … - 2019

process. We then exploit the concave structure of our problem and derive necessary and sufficient first-order conditions for …

Persistent link: https://www.econbiz.de/10012009904

Reverse Calculus and nested optimization

Clausen, Andrew; Strub, Carlo - In: Journal of economic theory 187 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012415948

Continuous-Time Public Good Contribution under Uncertainty

Ferrari, Giorgio; Steg, Jan-Henrik; Riedel, Frank - Institut für Mathematische Wirtschaftsforschung, … - 2015

We study a continuous-time problem of public good contribution under uncertainty for an economy with a finite number of agents. Each agent aims to maximize his expected utility allocating his initial wealth over a given time period between private consumption and repeated but irreversible...

Persistent link: https://www.econbiz.de/10011164360

On automatic derivation of first order conditions in dynamic stochastic optimisation problems

Klima, Grzegorz; Retkiewicz-Wijtiwiak, Kaja - Volkswirtschaftliche Fakultät, … - 2014

This note presents an algorithm for deriving first order conditions applicable to the most common optimisation problems … derive first order conditions which can then be used for solving models numerically (steady state, linearisation). …

Persistent link: https://www.econbiz.de/10011111893

A General and Intuitive Envelope Theorem.

School of Economics, University of Edinburgh - 2014

We present an envelope theorem for establishing first-order conditions in decision problems involving continuous and … that first-order conditions apply universally, even if optimal policies are not (S,s). Finally, we incorporate indivisible …

Persistent link: https://www.econbiz.de/10010931961

What do “residuals” from first-order conditions reveal about DGE models?

Johri, Alok; Letendre, Marc-André - Department of Economics, McMaster University - 2006

://www.mcmaster.ca/economics/ What do “residuals” from first-order conditions reveal about DGE models? Alok Johri⁄, Marc-Andr´e Letendre Department of … where does one stop this process? Instead, we argue that it may be useful to ask if the first-order conditions (FOCs … hours. JEL classification: E32, C52 Keywords: dynamic general equilibrium models, real business cycles, first-order …

Persistent link: https://www.econbiz.de/10005763361

Continuous-time public good contribution under uncertainty

Ferrari, Giorgio; Riedel, Frank; Steg, Jan-Henrik - 2013

We study a continuous-time problem of optimal public good contribution under uncertainty for an economy with a finite number of agents. Each agent can allocate his wealth between private consumption and repeated but irreversible contributions to increase the stock of some public good. We study...

Persistent link: https://www.econbiz.de/10010319969