Irreversible investment in oligopoly

Steg J-H (2009) Working Papers. Institute of Mathematical Economics; 415.
Bielefeld: Universität Bielefeld.

Diskussionspapier | Veröffentlicht | Englisch
 
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Abstract / Bemerkung
We offer a new perspective on games of irreversible investment under uncertainty in continuous time. The basis is a particular approach to solve the involved stochastic optimal control problems which allows to establish existence and uniqueness of an oligopolistic open loop equilibrium in a very general framework without reliance on any Markovian property. It simultaneously induces quite natural economic interpretation and predictions by its characterization of optimal strategies through first order conditions. The construction of equilibrium policies is then enabled by a stochastic representation theorem. A stepwise specification of the general model leads to further economic conclusions. We obtain explicit solutions for Lévy processes.
Stichworte
Equilibrium; Real options; Oligopoly; Stochastic game; Irreversible investment
Erscheinungsjahr
2009
Band
415
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2316269

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Steg J-H. Irreversible investment in oligopoly. Working Papers. Institute of Mathematical Economics. Vol 415. Bielefeld: Universität Bielefeld; 2009.
Steg, J. - H. (2009). Irreversible investment in oligopoly (Working Papers. Institute of Mathematical Economics, 415). Bielefeld: Universität Bielefeld.
Steg, J. - H. (2009). Irreversible investment in oligopoly. Working Papers. Institute of Mathematical Economics, 415, Bielefeld: Universität Bielefeld.
Steg, J.-H., 2009. Irreversible investment in oligopoly, Working Papers. Institute of Mathematical Economics, no.415, Bielefeld: Universität Bielefeld.
J.-H. Steg, Irreversible investment in oligopoly, Working Papers. Institute of Mathematical Economics, vol. 415, Bielefeld: Universität Bielefeld, 2009.
Steg, J.-H.: Irreversible investment in oligopoly. Working Papers. Institute of Mathematical Economics, 415. Universität Bielefeld, Bielefeld (2009).
Steg, Jan-Henrik. Irreversible investment in oligopoly. Bielefeld: Universität Bielefeld, 2009. Working Papers. Institute of Mathematical Economics. 415.
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