On preemption in discrete and continuous time

Steg J-H (2016) Center for Mathematical Economics Working Papers; 556.
Bielefeld: Center for Mathematical Economics.

Diskussionspapier | Veröffentlicht | Englisch
 
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Abstract / Bemerkung
The seminal work of Fudenberg and Tirole (1985) on how preemption erodes the value of an option to wait raises general questions about the relation between models in discrete and continuous time and thus about the interpretation of its central result, relying on an “infinitely fine grid”. Here it is shown that the preemption equilibrium is the limit of the unique symmetric equilibria of the game when reduced to any sequence of grids becoming infinitely fine. Furthermore, additional subgame perfect equilibria using conventional continuous-time mixed strategies are identified.
Stichworte
Preemption; discrete time; continuous time; subgame perfect equilibrium; convergence
Erscheinungsjahr
2016
Band
556
Seite(n)
16
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2902223

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Steg J-H. On preemption in discrete and continuous time. Center for Mathematical Economics Working Papers. Vol 556. Bielefeld: Center for Mathematical Economics; 2016.
Steg, J. - H. (2016). On preemption in discrete and continuous time (Center for Mathematical Economics Working Papers, 556). Bielefeld: Center for Mathematical Economics.
Steg, J. - H. (2016). On preemption in discrete and continuous time. Center for Mathematical Economics Working Papers, 556, Bielefeld: Center for Mathematical Economics.
Steg, J.-H., 2016. On preemption in discrete and continuous time, Center for Mathematical Economics Working Papers, no.556, Bielefeld: Center for Mathematical Economics.
J.-H. Steg, On preemption in discrete and continuous time, Center for Mathematical Economics Working Papers, vol. 556, Bielefeld: Center for Mathematical Economics, 2016.
Steg, J.-H.: On preemption in discrete and continuous time. Center for Mathematical Economics Working Papers, 556. Center for Mathematical Economics, Bielefeld (2016).
Steg, Jan-Henrik. On preemption in discrete and continuous time. Bielefeld: Center for Mathematical Economics, 2016. Center for Mathematical Economics Working Papers. 556.
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2019-09-06T09:18:37Z
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