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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.PR2025
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…