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 …

I model the strategic interaction between firms, that face decisions on investment, forward contracts and spot market … quantities. For an investment decision that takes place after firms have contracted forward but before firms compete on the spot … market (medium term investment), competition becomes fierce. Thus, the efficiency gains from forward trading found by Allaz …