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| Presentation | 2011-11-17 13:25 Equilibrium Analysis of Irreversible Investment between Leader and Follower under Price/Demand Functions described by Variables including Jump Diffusion Processes Shozo Tokinaga (Kyushu Univ.), Yoshinori Kishikawa (UNCT)  CAS2011-65 MSS2011-34 |
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| Abstract | (in Japanese) | (See Japanese page) |
| (in English) | This report deals with the equilibrium analysis of irreversible investment between leader and follower under price/demand functions described by variables including jump diffusion processes. At first, we summarize basic problem to estimate the effect of leader’s investment inducing follower’s behavior on investment. Then, we extend the model to cases where price and demand time series are represented by variables including jump diffusion processes, and derive optimal behavior of leader and follower based on the stochastic dynamic programming. We evaluate the effect of the jump diffusion processes on the profits of firms which are derived from equilibrium points between leader and follower by using comparative studies for cases with no jump diffusion. | |
| Keyword | (in Japanese) | (See Japanese page) |
| (in English) | Jump diffusion processes / leader and follower / equilibrium analysis / stochastic dynamics programming / / / / | |
| Reference Info. | IEICE Tech. Rep., vol. 111, no. 293, CAS2011-65, pp. 7-12, Nov. 2011. | |
| Paper # | CAS2011-65 | |
| Date of Issue | 2011-11-10 (CAS, MSS) | |
| ISSN | Print edition: ISSN 0913-5685 Online edition: ISSN 2432-6380 | |
| Copyright and reproduction |
All rights are reserved and no part of this publication may be reproduced or transmitted in any form or by any means, electronic or mechanical, including photocopy, recording, or any information storage and retrieval system, without permission in writing from the publisher. Notwithstanding, instructors are permitted to photocopy isolated articles for noncommercial classroom use without fee. (License No.: 10GA0019/12GB0052/13GB0056/17GB0034/18GB0034) | |
| Download PDF | CAS2011-65 MSS2011-34 |
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| Conference Information | |
| Committee | CAS MSS |
| Conference Date | 2011-11-17 - 2011-11-18 |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | Univ. of Yamaguchi |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | Graph, Petri Net, Neural network, etc |
| Paper Information | |
| Registration To | CAS |
| Conference Code | 2011-11-CAS-MSS |
| Language | Japanese |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Equilibrium Analysis of Irreversible Investment between Leader and Follower under Price/Demand Functions described by Variables including Jump Diffusion Processes |
| Sub Title (in English) | |
| Keyword(1) | Jump diffusion processes |
| Keyword(2) | leader and follower |
| Keyword(3) | equilibrium analysis |
| Keyword(4) | stochastic dynamics programming |
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| 1st Author's Name | Shozo Tokinaga |
| 1st Author's Affiliation | Kyushu University (Kyushu Univ.) |
| 2nd Author's Name | Yoshinori Kishikawa |
| 2nd Author's Affiliation | Ube National College of Technology (UNCT) |
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| Speaker | Author-2 |
| Date Time | 2011-11-17 13:25:00 |
| Presentation Time | 25 minutes |
| Registration for | CAS |
| Paper # | CAS2011-65, MSS2011-34 |
| Volume (vol) | vol.111 |
| Number (no) | no.293(CAS), no.294(MSS) |
| Page | pp.7-12 |
| #Pages | 6 |
| Date of Issue | 2011-11-10 (CAS, MSS) |
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