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

公司的决定往往是在不确定和竞争环境下作出的，具有长期的后果，例如，如果由于实际或法律的摩擦而难以逆转。 特别是在创新市场的长期投资经常面临着高风险的不确定性，因为很难甚至不可能对未来的需求或盈利能力进行准确的概率评估。因此，企业或参与者遇到了战略方面以及模糊性或模型的不确定性。在本项目的第一部分，我们取得了良好的进展，在连续时间和Boghtian不确定性下的单代理真实的期权决策的分析，我们将这些结果应用于分析所谓的开环均衡在动态寡头垄断和公共产品的游戏。反馈（或子游戏完美）的分析，满足基本的概念问题，在连续的时间，停止游戏的特殊结构，但是，允许这样的分析，我们已经开发了一个框架，这样停止游戏的第一部分。在计划中的延续，我们的目标是将这些见解应用于重复的投资决策，在战略环境下的不确定性。 应用包括古诺和贝特朗市场的反馈分析以及应用到真实的期权博弈和一些金融博弈期权。

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.