Between the stem of an exhaust valve and its guide, is very little tolerance. The valve can have difficulty opening and closing if sludge gets between the two. Mechanics call this "morning sickness" because it's usually at its worse in the morning when the engine is cold, and improves as the engine and oil heat up. Valves can stick very hard in engines that sit unused long enough for sludge to harden, or rust to build up.
Dissolve and remove the sludge from your engine. This may work if the valve is not stuck too hard. Many brands of sludge remover are available, such as Gunk Motor Flush. Generally you add it to the oil, run the engine for a while, then change the oil. If this does not work, continue to step two.
Remove the valve cover and the engine head. Then rotate the camshaft so the lobe is not pressing down on the valve stem.
Soak the valve stem with penetrating oil so it runs down between the guide and valve stem, then tap the valve. This causes the metal to vibrate, like a tuning fork, which helps the penetrating oil do its job.
Hit the valve with a brass hammer, gently, trying to close it -- exhaust valves always stick in the open position. This works well, but slowly. It could take days, maybe a week or longer. Keep soaking, tapping, and hitting until the valve breaks loose.