4 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…
Optimal stopping involving a diffusion and its running maximum: a generalisation of the maximality principle
Neofytos Rodosthenous, Mihail Zervos
The maximality principle has been a valuable tool in identifying the free-boundary functions that are associated with the solutions to several optimal stopping problems involving o…
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…