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Discussion Papers, Kellogg School of Management, Northwestern University >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/59687
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| DC Field | | Value | | Language |
| dc.contributor.author | | Strulovici, Bruno | | en_US |
| dc.contributor.author | | Szydlowski, Martin | | en_US |
| dc.date.accessioned | | 2012-01-17 | | en_US |
| dc.date.accessioned | | 2012-07-12T12:34:32Z | | - |
| dc.date.available | | 2012-07-12T12:34:32Z | | - |
| dc.date.issued | | 2012 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/59687 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Northwestern Univ., Kellogg Graduate School of Management, Center for Mathematical Studies in Economics and Management Science Evanston | | en_US |
| dc.relation.ispartofseries | | Discussion Paper, Center for Mathematical Studies in Economics and Management Science 1542 | | en_US |
| dc.subject.jel | | C61 | | en_US |
| dc.subject.jel | | C62 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Stochastic Control | | en_US |
| dc.subject.keyword | | Super Contact | | en_US |
| dc.subject.keyword | | Smooth Pasting | | en_US |
| dc.subject.keyword | | Value Function | | en_US |
| dc.title | | On the smoothness of value functions | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 683195689 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Discussion Papers, Kellogg School of Management, Northwestern University
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