Presentation | 2011/11/10 Equilibrium Analysis of Irreversible Investment between Leader and Follower under Price/Demand Functions described by Variables including Jump Diffusion Processes Shozo TOKINAGA, Yosinori KISHIKAWA, |
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Abstract(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) |
Keyword(in English) | Jump diffusion processes / leader and follower / equilibrium analysis / stochastic dynamics programming |
Paper # | MSS2011-34,CAS2011-65 |
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Committee | MSS |
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Conference Date | 2011/11/10(1days) |
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Registration To | Mathematical Systems Science and its applications(MSS) |
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Language | JPN |
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 |
1st Author's Name | Shozo TOKINAGA |
1st Author's Affiliation | Graduate School of Economics, Kyushu University() |
2nd Author's Name | Yosinori KISHIKAWA |
2nd Author's Affiliation | UBE National College of Technology |
Date | 2011/11/10 |
Paper # | MSS2011-34,CAS2011-65 |
Volume (vol) | vol.111 |
Number (no) | 294 |
Page | pp.pp.- |
#Pages | 6 |
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