We study how the convolution approximation of continuous mappings can be applied in solving optimal stopping problems of linear diffusions whenever the underlying payoff is not differentiable and the smooth fit principle does not necessarily apply. We construct a sequence of smooth reward...

[Bobkov and Houdre (1997] proved that if [xi], [eta] and [zeta] are independent standard exponential random variables, then for any two absolutely continuous functions f and g such that Ef([xi])2[infinity] and Eg([xi])2[infinity], the equality Cov(f([xi]),g([xi]))=Ef'([xi]+[eta])g'([xi]+[zeta])...