Investment under Uncertainty, Coalition Spillovers and Market Evolution in a Game Theoretic Perspective
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THEORY AND DECISION LIBRARY General Editors: W. Leinfellner (Vienna) and G. Eberlein (Munich) Series A: Philosophy and Methodology of the Social Sciences Series B: Mathematical and Statistical Methods Series C: Game Theory, Mathematical Programming and Operations Research Series D: System Theory, Knowledge Engineering an Problem Solving
SERIES C: GAME THEORY, MATHEMATICAL PROGRAMMING AND OPERATIONS RESEARCH VOLUME 35
Editor-in Chief: H. Peters (Maastricht University); Honorary Editor: S.H. Tijs (Tilburg); Editorial Board: E.E.C. van Damme (Tilburg), H. Keiding (Copenhagen), J.-F. Mertens (Louvain-la-Neuve), H. Moulin (Rice University), S. Muto (Tokyo University), T. Parthasarathy (New Delhi), B. Peleg (Jerusalem), T. E. S. Raghavan (Chicago), J. Rosenmüller (Bielefeld), A. Roth (Pittsburgh), D. Schmeidler (Tel-Aviv), R. Selten (Bonn), W. Thomson (Rochester, NY). Scope: Particular attention is paid in this series to game theory and operations research, their formal aspects and their applications to economic, political and social sciences as well as to sociobiology. It will encourage high standards in the application of game-theoretical methods to individual and social decision making.
INVESTMENT UNDER UNCERTAINTY, COALITION SPILLOVERS AND MARKET EVOLUTION IN A GAME THEORETIC PERSPECTIVE
by
JACCO THIJSSEN Department of Economics, Trinity College Dublin, Ireland
KLUWER ACADEMIC PUBLISHERS NEW YORK, BOSTON, DORDRECHT, LONDON, MOSCOW
eBook ISBN: Print ISBN:
1-4020-7944-3 1-4020-7877-3
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Contents
List of Figures Acknowledgments
ix xi
1. INTRODUCTION 1 Rational Behaviour and Economics 2 Introduction to Part I 3 Introduction to Part II 4 Introduction to Part III
1 1 5 10 13
2. MATHEMATICAL PRELIMINARIES 1 Basic Concepts from Topology and Calculus 2 Convex Analysis 3 Triangulations 4 Game Theory 4.1 Non-Cooperative Theory 4.2 Cooperative Theory 5 Basic Concepts from Probability Theory 6 Markov Chains 6.1 Stochastic Stability 6.2 Nearly-Complete Decomposability 7 Stochastic Processes in Continuous Time 7.1 Basic Stochastic Processes 7.2 Optimal Stopping
21 21 24 25 26 27 29 32 35 36 39 43 48 50
v
vi
INVESTMENT, COALITION SPILLOVERS, AND EVOLUTION
Part I Investment, Strategy, and Uncertainty 3. THE EFFECT OF INFORMATION STREAMS ON CAPITAL BUDGETING DECISIONS 1 Introduction 2 The Model 3 The Optimal Investment Decision 4 Error Analysis 5 Economic Interpretation 6 Conclusions Appendix A Proof of Proposition 3.1 B Proof of Proposition 3.2 4. SYMMETRIC EQUILIBRIA IN GAME THEORETIC REAL OPTION MODELS 1 Introduction 2 The General Model 2.1 The E
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