Let $\mu: \mathbb{R}\to \mathbb{R}$, $f: \mathbb{R}\to \mathbb{R}$, and $r: \mathbb{R}\to [1, \infty)$ be bounded measurable functions (which may be discontinuous).
I'm interested in the function $v:\mathbb{R}\to\mathbb{R}$ given by $v(x) = \mathbb E \left[ \int_0^\infty e^{-\int_0^t r(X_\tau) d\tau} f(X_t) \bigg| X_0 = x, \ dX_t = \mu(X_t) dt + dB_t \right]$, where $\{B_t\}_t$ is a standard Brownian motion.
I know that $v$ is well-defined and I know one can prove it's continuous. I'm wondering if I can get any stronger smoothness results than this. For instance, is $v$ globally differentiable? If so, how "nice" is its derivative?
