38 citations · 76 across the 11 of their papers we have counts for
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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…
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…
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…
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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…
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…