2 papers
math.PR2026
Weak convergence rate for the Cox-Ingersoll-Ross process
Alexandros Pavlis, Umut Cetin
We study the weak convergence rate of a drift-implicit discretisation scheme for the Cox-Ingersoll-Ross (CIR) process in the regime where the process remains strictly positive. Spe…
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…