Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/77511 
Erscheinungsjahr: 
2012
Schriftenreihe/Nr.: 
Working Paper No. 62
Verlag: 
University of Zurich, Department of Economics, Zurich
Zusammenfassung: 
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: first-order conditions are necessary at interior optimal choices. We only assume differentiability of the utility function with respect to the continuous choices. The continuous choice may be from any Banach space and the discrete choice from any non-empty set.
Schlagwörter: 
envelope theorem
differentiability
dynamic programming
discrete choice
non-smooth analysis
JEL: 
C61
E20
Dokumentart: 
Working Paper

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