英文标题：
《Quick or Persistent? Strategic Investment Demanding Versatility》
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作者：
Jan-Henrik Steg and Jacco Thijssen
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最新提交年份：
2015
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英文摘要：
In this paper we analyse a dynamic model of investment under uncertainty in a duopoly, in which each firm has an option to switch from the present market to a new market. We construct a subgame perfect equilibrium in mixed strategies and show that both preemption and attrition can occur along typical equilibrium paths. In order to determine the attrition region a two-dimensional constrained optimal stopping problem needs to be solved, for which we characterize the non-trivial stopping boundary in the state space. We explicitly determine Markovian equilibrium stopping rates in the attrition region and show that there is always a positive probability of eventual preemption, contrasting the deterministic version of the model. A simulation-based numerical example illustrates the model and shows the relative likelihoods of investment taking place in attrition and preemption regions.
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中文摘要：
本文分析了双寡头垄断中不确定性投资的动态模型，其中每个企业都有从当前市场切换到新市场的选择权。我们构造了混合策略下的子博弈完美均衡，并证明了抢占和消耗都可以沿着典型的均衡路径发生。为了确定磨损区域，需要求解二维约束最优停止问题，我们在状态空间中刻画了非平凡停止边界。我们明确地确定了消耗区的马尔可夫均衡停止率，并证明了最终抢占的概率始终为正，这与模型的确定性版本形成了对比。一个基于模拟的数值例子说明了该模型，并显示了在消耗和抢占区域发生投资的相对可能性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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