Lipschitz continuous policy functions for strongly concave optimization problems

We prove that the policy function, obtained by optimizing a discounted infinite sum of stationary return functions, is Lipschitz continuous when the instantaneous function is strongly concave. Moreover, by using the notion of α-concavity, we provide an estimate of the Lipschitz constant which turns...

Full description

Saved in:
Bibliographic Details
Published inJournal of mathematical economics Vol. 16; no. 3; pp. 259 - 273
Main Author Montrucchio, Luigi
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier B.V 1987
Elsevier
Elsevier Sequoia S.A
SeriesJournal of Mathematical Economics
Subjects
Dynamic programming
Economic models
Functions
Mathematical analysis
Mathematische Optimierung
Optimization
Policy
Theorie
Online AccessGet full text

Cover

More Information
Summary:We prove that the policy function, obtained by optimizing a discounted infinite sum of stationary return functions, is Lipschitz continuous when the instantaneous function is strongly concave. Moreover, by using the notion of α-concavity, we provide an estimate of the Lipschitz constant which turns out to be a decreasing function of the discount factor.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
content type line 14
ObjectType-Article-2
ObjectType-Feature-1
content type line 23
ISSN:0304-4068
1873-1538
DOI:10.1016/0304-4068(87)90012-7