Racing under uncertainty: Boundary value problem approach

• 成果类型: Article
• 署名作者: Cao, Dan
• 署名单位: Georgetown University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2013.12.002
• 发表日期: 2014
• 页码: 508-527
• 关键词: Dynamic competition; Continuous time game; Discouragement effect; Boundary value problem

摘要

This paper explores the continuous time and continuous space model of racing under uncertainty put forward by Budd, Harris, and Vickers [4] and allows for potentially asymmetric players. To prove the existence of Markov perfect equilibria, I use a boundary value problem formulation which is novel to the dynamic competition literature. In addition, by providing a new and intuitive definition of the pivot of an equilibrium, I show that equilibrium strategies exhibit the discouragement effect similar to that of Harris and Vickers [10] but under a more general class of the cost functions. (C) 2013 Elsevier Inc. All rights reserved.