Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/59687
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dc.contributor.authorStrulovici, Brunoen_US
dc.contributor.authorSzydlowski, Martinen_US
dc.date.accessioned2012-01-17en_US
dc.date.accessioned2012-07-12T12:34:32Z-
dc.date.available2012-07-12T12:34:32Z-
dc.date.issued2012en_US
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_US
dc.language.isoengen_US
dc.publisher|aNorthwestern Univ., Kellogg Graduate School of Management, Center for Mathematical Studies in Economics and Management Science |cEvanstonen_US
dc.relation.ispartofseries|aDiscussion Paper, Center for Mathematical Studies in Economics and Management Science |x1542en_US
dc.subject.jelC61en_US
dc.subject.jelC62en_US
dc.subject.ddc330en_US
dc.subject.keywordStochastic Controlen_US
dc.subject.keywordSuper Contacten_US
dc.subject.keywordSmooth Pastingen_US
dc.subject.keywordValue Functionen_US
dc.titleOn the smoothness of value functionsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn683195689en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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