In this paper we study a continuous time, optimal stochastic investment problem under limited resources in a market … with N firms. The investment processes are subject to a time-dependent stochastic constraint. Rather than using a dynamic …)]. -- stochastic irreversible investment ; optimal stopping ; the Bank and El Karoui Representation Theorem ; base capacity ; Lagrange …

In this paper we analyse a dynamic model of investment under uncertainty in a duopoly, in which each firm has an option …. A simulation-based numerical example illustrates the model and shows the relative likelihoods of investment taking place …

considered one of irreversible investment with a cost functional which is non convex with respect to the control variable. In … this paper we study the optimal entry into this investment plan. The optimal entry policy can have an irregular boundary …