Strategic Investment under Uncertainty: First-mover, Second-mover, and State-contingent Advantages

发布时间:2022-10-05 浏览次数:10

 Strategic Investment under Uncertainty: First-mover, Second-mover, and State-contingent Advantages 

报告人戴民 香港理工大学讲席教授

 2022.10.07(周五) 15:00-16:30


腾讯会议827-745-379 会议密码:202210

 We develop a duopoly real-option entry game model with the first-mover, second-mover, and state-contingent advantages. The model can be described by a variational inequality, through which we fully characterize both mixed-strategy and pure-strategy equilibria. Moreover, we develop a separation principle to decompose the entry game into a monopolist’s problem and a generalized war-of-attrition game with stochastic payoffs. This work is jointly with Zhaoli Jiang and Neng Wang.


戴民,香港理工大学应用统计与金融数学讲席教授,新加坡国立大学数学教授。先后担任了新加坡国立大学重庆研究院金融与金融风险管理研究室主任,新加坡国立大学数量金融中心主任。其研究领域为数量金融和金融科技,随机控制,应用和数值偏微分方程,在Journal of Economic Theory, Journal of Finance, Journal of Financial and Quantitative Finance,Management Science,Mathematical Finance,Review of Financial Studies,SIAM Journals等期刊发表或待发表论文50余篇。现任Digital Finance联合主编及Finance and Stochastics,Journal of Economic Dynamics and Control,SIAM Journal on Financial Mathematics,Mathematics and Financial Economics,Asia-Pacific Journal of Operational Research,Frontiers of Mathematical Finance等期刊编委。

版权所有 Copyright © 2012 苏州大学金融工程研究中心. 访问次数: