The envelope theorem in dynamic optimization

This paper is concerned with the effects of a change in an exogenous parameter on a control problem's optimal performance function. A dynamic envelope theorem is obtained which generalizes and relates results from earlier studies. The theorem derived is applied to a problem of dynamic lifetime consumption theory, giving rise to an intertemporal analogue of the Slutsky equation.


Issue Date:
Sep 24 1987
Publication Type:
Working or Discussion Paper
Language:
English
Total Pages:
20
Series Statement:
Staff Paper 87-2




 Record created 2017-07-12, last modified 2017-08-29

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