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math.PR2025
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…
math.OC2025
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…
math.PR2025
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…