Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/43793
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dc.contributor.authorSteg, Jan-Henriken_US
dc.date.accessioned2010-11-26en_US
dc.date.accessioned2011-01-24T10:23:12Z-
dc.date.available2011-01-24T10:23:12Z-
dc.date.issued2009en_US
dc.identifier.piurn:nbn:de:hbz:361-14605en_US
dc.identifier.urihttp://hdl.handle.net/10419/43793-
dc.description.abstractWe 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.en_US
dc.language.isoengen_US
dc.publisher|aInst. of Mathematical Economics, IMW |cBielefelden_US
dc.relation.ispartofseries|aWorking papers // Institute of Mathematical Economics |x415en_US
dc.subject.jelC73en_US
dc.subject.jelD43en_US
dc.subject.jelD92en_US
dc.subject.ddc330en_US
dc.subject.keywordIrreversible investmenten_US
dc.subject.keywordStochastic gameen_US
dc.subject.keywordOligopolyen_US
dc.subject.keywordReal optionsen_US
dc.subject.keywordEquilibriumen_US
dc.subject.stwIrreversibility of Investmenten_US
dc.subject.stwStochastisches Spielen_US
dc.subject.stwRealoptionen_US
dc.subject.stwKontrolltheorieen_US
dc.subject.stwOligopolen_US
dc.subject.stwTheorieen_US
dc.titleIrreversible investment in oligopolyen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn595211771en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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