Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/59687 
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dc.contributor.authorStrulovici, Brunoen
dc.contributor.authorSzydlowski, Martinen
dc.date.accessioned2012-01-17-
dc.date.accessioned2012-07-12T12:34:32Z-
dc.date.available2012-07-12T12:34:32Z-
dc.date.issued2012-
dc.identifier.urihttp://hdl.handle.net/10419/59687-
dc.description.abstractWe 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.en
dc.language.isoengen
dc.publisher|aNorthwestern University, Kellogg School of Management, Center for Mathematical Studies in Economics and Management Science |cEvanston, ILen
dc.relation.ispartofseries|aDiscussion Paper |x1542en
dc.subject.jelC61en
dc.subject.jelC62en
dc.subject.ddc330en
dc.subject.keywordStochastic Controlen
dc.subject.keywordSuper Contacten
dc.subject.keywordSmooth Pastingen
dc.subject.keywordValue Functionen
dc.titleOn the smoothness of value functions-
dc.typeWorking Paperen
dc.identifier.ppn683195689en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:nwu:cmsems:1542Ren

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