Centre for Development Economics
Department of Economics, Delhi School of Economics


Generalized Envelope Theorems with Applications to Dynamic Programming


Suchismita Tarafdar
Department of Economics, Shiv Nadar University


25th February, 2016 (Thursday) at 3:00 PM

Venue : Seminar Room (First Floor)
Department of Economics, Delhi School of Economics

All are cordially invited

We derive a collection of generalized envelope theorems for a broad class of parameterized Lipschitizian optimization problems with both nonsmooth objectives and constraints applicable to many economic environments where nonconvexities play a key role.
We …first provide sufficient conditions for the value function to be Lipschitz and obtain bounds for its upper and lower Directional Dini derivatives of this value function. Next we establish sufficient conditions for the directional differentiabiliy and/or differentiability of the value function, and show how standard smooth envelope theorems are special cases of our results.
We then apply our …findings to derive new results on the existence and characterization of Markov equilibrium in dynamic economies with nonconvexities, dynamic programming with discrete choices, incentive constrained dynamic programming, and monotone comparative statics in constrained optimization problems.

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