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http://hdl.handle.net/10419/43793
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| Title: | | Irreversible investment in oligopoly  |
| Authors: | | Steg, Jan-Henrik |
| Issue Date: | | 2009 |
| Series/Report no.: | | Working papers // Institute of Mathematical Economics 415 |
| Abstract: | | 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. |
| Subjects: | | Irreversible investment Stochastic game Oligopoly Real options Equilibrium |
| JEL: | | C73 D43 D92 |
| Persistent Identifier of the first edition: | | urn:nbn:de:hbz:361-14605 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Working Papers, Institute of Mathematical Economics, Universität Bielefeld
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