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 programming approach, we exploit the concavity of the...

In this paper we derive a new handy integral equation for the free boundary of innite time horizon, continuous time, stochastic, irreversible investment problems with un- certainty modeled as a one-dimensional, regular difusion X0;x. The new integral equation allows to explicitly find the free...

We propose a tractable dynamic framework for the joint determination of optimal consumption, portfolio choice, and healthcare irreversible investment. Our model is based on a Merton's portfolio and consumption problem, where, in addition, the agent can choose the time at which undertaking a...

The socioeconomic impact of pollution naturally comes with uncertainty due to, e.g., current new technological developments in emissions' abatement or demographic changes. On top of that, the trend of the future costs of the environmental damage is unknown: Will global warming dominate or...

We consider a mean-field model of firms competing à la Cournot on a commodity market, where the commodity price is given in terms of a power inverse demand function of the industry-aggregate production. Investment is irreversible and production capacity depreciates at a constant rate....

This paper studies a class of stationary mean-field games of singular stochastic control with regime-switching. The representative agent adjusts the dynamics of a Markov-modulated Itô-diffusion via a two-sided singular stochastic control and faces a long-time-average expected profit criterion....

In the context of stochastic volatility models, we study representation formulas in terms of expectations for the power series' coefficients associated to the call price-function. As in a recent paper by Antonelli and Scarlatti the expansion is done w.r.t. the correlation between the noises...

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 programming approach, we exploit the concavity of the...

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 programming approach, we exploit the concavity of the...