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Global C1C^1 Regularity of the Value Function in Optimal Stopping Problems

By Tiziano Angelis and Goran Peskir
We show that if either the process is strong Feller and the boundary point is probabilistically regular for the stopping set, or the process is strong Markov and the boundary point is probabilistically regular for the interior of the stopping set, then the boundary point is Green regular for the... Show more
April 15, 2020
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Global $C^1$ Regularity of the Value Function in Optimal Stopping Problems
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