Quick or Persistent? Strategic Investment Demanding Versatility
Quick or Persistent? Strategic Investment Demanding Versatility
复制标题
快速还是持续？
DOI：
--
复制
发表时间：
2015
期刊：
影响因子：
--
通讯作者：
J. Thijssen
中科院分区：
文献类型：
--
作者：
Jan;J. Thijssen
本文分析了一个双头垄断企业在不确定性条件下的动态投资模型，其中每个企业都有从当前市场转移到新市场的选择权。我们构建了一个混合策略的子博弈完美均衡，并证明了抢占和消耗都可以发生在沿着典型的均衡路径。为了确定磨损区域的二维约束的最优停止问题需要解决，我们在状态空间中的非平凡停止边界的特征。我们明确地确定马尔可夫均衡停止率的磨损区域，并表明，总是有一个积极的可能性，最终抢占，对比确定性版本的模型。一个基于仿真的数值例子说明了模型，并显示了相对的可能性发生在磨损和抢占区域的投资。
In this paper we analyse a dynamic model of investment under uncertainty in a duopoly, in which each firm has an option to switch from the present market to a new market. We construct a subgame perfect equilibrium in mixed strategies and show that both preemption and attrition can occur along typical equilibrium paths. In order to determine the attrition region a two-dimensional constrained optimal stopping problem needs to be solved, for which we characterize the non-trivial stopping boundary in the state space. We explicitly determine Markovian equilibrium stopping rates in the attrition region and show that there is always a positive probability of eventual preemption, contrasting the deterministic version of the model. A simulation-based numerical example illustrates the model and shows the relative likelihoods of investment taking place in attrition and preemption regions.
随机计时博弈中的子博弈完美均衡
DOI：
10.1016/j.jmateco.2017.06.006
发表时间：
2017
期刊：
Game Theory & Bargaining Theory eJournal
影响因子：
--
作者：
F. Riedel;J.-H. Steg
通讯作者：
J.-H. Steg