38 citations · 76 across the 11 of their papers we have counts for
12 papers
A dynamic competitive equilibrium model of irreversible capacity investment with stochastic demand and heterogeneous producers
Constantinos Kardaras, Alexandros Pavlis, Mihail Zervos
We formulate a continuous-time competitive equilibrium model of irreversible capacity investment in which a continuum of heterogeneous producers supplies a single non-durable good…
A risk-sensitive ergodic singular stochastic control problem
Justin Gwee, Mihail Zervos
We consider a two-sided singular stochastic control problem with a risk-sensitive ergodic criterion. In particular, we consider a stochastic system whose uncontrolled dynamics are…
On the applicability of the maximality principle in optimal stopping: an example involving a diffusion and its running maximum
Neofytos Rodosthenous, Mihail Zervos
The maximality principle has proved to be a valuable tool for identifying the optimal stopping boundaries in optimal stopping problems involving one-dimensional time-homogeneous di…
The Solution to an Impulse Control Problem Motivated by Optimal Harvesting
Zhesheng Liu, Mihail Zervos
We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic s…
Singular stochastic control problems motivated by the optimal sustainable exploitation of an ecosystem
Gechun Liang, Zhesheng Liu, Mihail Zervos
We derive the explicit solutions to singular stochastic control problems of the monotone follower type with (a) an expected discounted criterion, (b) an expected ergodic criterion…
Discretionary stopping of stochastic differential equations with generalised drift
Mihail Zervos, Neofytos Rodosthenous, Pui Chan Lon +1
We consider the problem of optimally stopping a general one-dimensional stochastic differential equation (SDE) with generalised drift over an infinite time horizon. First, we deriv…
Valuation of Employee Stock Options (ESOs) by means of Mean-Variance Hedging
Kamil Kladivko, Mihail Zervos
We consider the problem of ESO valuation in continuous time. In particular, we consider models that assume that an appropriate random time serves as a proxy for anything that cause…
Watermark Options
Neofytos Rodosthenous, Mihail Zervos
We consider a new family of derivatives whose payoffs become strictly positive when the price of their underlying asset falls relative to its historical maximum. We derive the solu…
An Investment Model with Switching Costs and the Option to Abandon
Mihail Zervos, Carlos Oliveira, Kate Duckworth
We develop a complete analysis of a general entry-exit-scrapping model. In particular, we consider an investment project that operates within a random environment and yields a payo…
A zero-sum game between a singular stochastic controller and a discretionary stopper
Daniel Hernandez-Hernandez, Robert S. Simon, Mihail Zervos
We consider a stochastic differential equation that is controlled by means of an additive finite-variation process. A singular stochastic controller, who is a minimizer, determines…
On the Optimal Stopping of a One-dimensional Diffusion
Damien Lamberton, Mihail Zervos
We consider a one-dimensional diffusion which solves a stochastic differential equation with Borel-measurable coefficients in an open interval. We allow for the endpoints to be ina…
A Singular Control Model with Application to the Goodwill Problem
Andrew J. F. Jack, Timothy C. Johnson, Mihail Zervos
We consider a stochastic system whose uncontrolled state dynamics are modelled by a general one-dimensional Itô diffusion. The control effort that can be applied to this system tak…