Strulovici, Bruno; Szydlowski, Martin - Volkswirtschaftliche Fakultät, … - 2012
We prove that under standard Lipschitz and growth conditions, the value function of all optimal control problems for … one-dimensional diffusions is twice continuously differentiable, as long as the control space is compact and the … optimal control, which is also shown to be Markov. These conditions are based on the theory of monotone comparative statics. …