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http://hdl.handle.net/10419/59687
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| Title: | | On the smoothness of value functions  |
| Authors: | | Strulovici, Bruno Szydlowski, Martin |
| Issue Date: | | 2012 |
| Series/Report no.: | | Discussion Paper, Center for Mathematical Studies in Economics and Management Science 1542 |
| Abstract: | | We prove that under standard Lipschitz and growth conditions, the value function of all optimal control problems for one-dimensional diffusions is twice differentiable, as long as the control space is compact and the volatility is uniformly bounded below, away from zero. Under similar conditions, the value function of any optimal stopping problem is differentiable. |
| Subjects: | | Stochastic Control Super Contact Smooth Pasting Value Function |
| JEL: | | C61 C62 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Papers, Kellogg School of Management, Northwestern University
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