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非对称情形下R & D竞争项目的策略性投资
引用本文:薛明皋,龚朴.非对称情形下R & D竞争项目的策略性投资[J].数学物理学报(A辑),2008,28(5):794-801.
作者姓名:薛明皋  龚朴
作者单位:(华中科技大学管理学院财务金融系 武汉 430074)
基金项目:国家自然科学基金(70671047)资助
摘    要:在非对称情形下,考虑具有技术不确定和未来收益不确定的竞争研究与开发(R&;D)项目的不可逆策略性投资.利用期权博弈理论和随机优化方法给出了高效研发公司(主导者) 的最优投资阈值和最优投资规则的解析表达式,并证明了由于两公司的竞争使投资阈值下降.其次讨论了两公司的混合投资策略,并给出每个公司执行投资期权的概率和两公司同时执行投资期权的概率. 在最后给出了数值模拟算例来说明该文结论的合理性.

关 键 词:R&  D投资  期权博弈  投资阈值  占先策略  混合策略
收稿时间:2005-12-01
修稿时间:2007-10-17

R&D Competition Project Strategic Investment in Asymmetrical Case
Xue Minggao,Gong Pu.R&D Competition Project Strategic Investment in Asymmetrical Case[J].Acta Mathematica Scientia,2008,28(5):794-801.
Authors:Xue Minggao  Gong Pu
Institution:(Department of Mathematics, Huazhong University of Science and Technology, Wuhan 430074)
Abstract:In asymmetrical case, the paper considers irreversible strategic investment in competing research and development (R&;D) projects with technological uncertainty and uncertainty of future returns. Using real option game theory and stochastic optimal control approach, this paper presents the optimal investment threshold values and the optimal investment rule of hight-efficient firm (leader), and showed that the investment threshold values are reduced by competition of two firms. The mixed investment strategy for two firms is discussed and gives the probability for each firm exercise the option to invest, also presents the probability of simultaneous exercise of the option to invest for two firms in the paper. Finally, it uses an example from innovation case to show that this paper’s results are reasonable.
Keywords:R&zz  D investmentzz  Option gamezz  Optimal investment threshold valuezz  Mixed investment strategyzz  Menace of preemptionzz
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