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Singular Control Games: Strategic Issues in Real Options and Dynamic Oligopoly under Knightian Uncertainty

奇异控制博弈：奈特不确定性下实物期权和动态寡头垄断的战略问题

基本信息

批准号：
199871851
负责人：
Professor Dr. Frank Riedel
金额：
--
依托单位：
Center for Mathematical Economics
依托单位国家：
德国
项目类别：
Research Grants
财政年份：
2011
资助国家：
德国
起止时间：
2010-12-31 至 2017-12-31
项目状态：
已结题

来源：
https://gepris.dfg.de/gepris/projekt/199871851?language=en
关键词：
Singular Control Games Strategic Issues

项目摘要

Decisions of firms often have to be made under uncertainty and in competitive environments, with long-ranging consequences, for example if they are hardly reversible due to physical or legal frictions. Especially long-term investments in innovative markets frequently face Knightian uncertainty as exact probability assessments of future demand or profitability are difficult to make or even impossible. The firms or players thus encounter strategic aspects as well as ambiguity or model uncertainty. In the first part of this project we made good progress in the analysis of single agent real option decision in continuous time and under Knightian uncertainty; we applied these results to the analysis of so--called open loop equilibria in dynamic oligopoly and public good games. The analysis of feedback (or sub game perfect) meets fundamental conceptual problems in continuous time; the special structure of stopping games, however, allows such an analysis, and we have developed a framework for such stopping games in the first part. In the planned continuation, we aim to apply these insights to repeated investment decisions in strategic environments under Knightian uncertainty. Applications include the feedback analysis of Cournot and Bertrand markets as well as applications to real option games and some financial game options.

公司的决策往往不得不在不确定和竞争的环境中做出，这会产生长期的后果，例如，如果由于物理或法律摩擦而难以逆转的决策。特别是，创新市场的长期投资经常面临奈特式的不确定性，因为很难甚至不可能对未来需求或盈利能力进行准确的概率评估。因此，公司或参与者会遇到战略方面以及模棱两可或模式不确定的问题。在这个项目的第一部分，我们在连续时间和奈特不确定性下的单代理人实物期权决策分析方面取得了很好的进展，并将这些结果应用于动态寡头垄断和公共产品博弈中的所谓开环均衡的分析。反馈(或者子博弈完美)的分析在连续时间遇到了基本的概念问题；然而，停止博弈的特殊结构允许这样的分析，我们在第一部分中开发了这样的停止博弈的框架。在计划的继续中，我们的目标是将这些见解应用于奈特不确定性下的战略环境中的重复投资决策。应用包括古诺和伯川德市场的反馈分析，以及对实物期权博弈和一些金融博弈期权的应用。