Preemptive investment under uncertainty

• 成果类型: Article
• 署名作者: Steg, Jan-Henrik
• 署名单位: University of Bielefeld
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2018.03.009
• 发表日期: 2018
• 页码: 90-119
• 关键词: preemption; Real options; irreversible investment; subgame-perfect equilibrium; optimal stopping

摘要

This paper provides a general characterization of subgame-perfect equilibria for strategic timing problems, where two firms have the (real) option to make an irreversible investment. Profit streams are uncertain and depend on the market structure. The analysis is based directly on the inherent economic structure of the model. In particular, determining equilibria with preemptive investment is reduced to solving a single class of constrained optimal stopping problems. Further tools are derived for analyzing Markovian state-space models. Applications to typical models from the literature complete commonly insufficient equilibrium arguments, show when uncertainty leads to qualitatively different behavior, and establish additional equilibria that are Pareto improvements. (C) 2018 Elsevier Inc. All rights reserved.