Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/43793 
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dc.contributor.authorSteg, Jan-Henriken
dc.date.accessioned2010-11-26-
dc.date.accessioned2011-01-24T10:23:12Z-
dc.date.available2011-01-24T10:23:12Z-
dc.date.issued2009-
dc.identifier.piurn:nbn:de:hbz:361-14605en
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
dc.language.isoengen
dc.publisher|aBielefeld University, Institute of Mathematical Economics (IMW) |cBielefelden
dc.relation.ispartofseries|aWorking Papers |x415en
dc.subject.jelC73en
dc.subject.jelD43en
dc.subject.jelD92en
dc.subject.ddc330en
dc.subject.keywordIrreversible investmenten
dc.subject.keywordStochastic gameen
dc.subject.keywordOligopolyen
dc.subject.keywordReal optionsen
dc.subject.keywordEquilibriumen
dc.subject.stwIrreversibility of Investmenten
dc.subject.stwStochastisches Spielen
dc.subject.stwRealoptionen
dc.subject.stwKontrolltheorieen
dc.subject.stwOligopolen
dc.subject.stwTheorieen
dc.titleIrreversible investment in oligopoly-
dc.typeWorking Paperen
dc.identifier.ppn595211771en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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