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Optima and equilibria : an introduction to nonlinear analysis

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Long, Ngo Van; Shimomura, Kōji - In: Economic theory : official journal of the Society for … 22 (2003) 3, pp. 671-674

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Envelope theorems for non-smooth and non-concave optimization

Clausen, Andrew; Strub, Carlo - 2012 - Revised version, April 2012

We study general dynamic programming problems with continuous and discrete choices and general constraints. The value functions may have kinks arising (1) at indifference points between discrete choices and (2) at constraint boundaries. Nevertheless, we establish a general envelope theorem:...

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Numerical policy error bounds for -concave stochastic dynamic programming with non-interior solutions

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