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• W2807671714 abstract "In this paper, we study two-player investment problems with investment costs that are bounded below by some fixed positive constant. We seek a description of optimal investment strategies for a duopoly problem in which two firms invest in advertising projects to abstract market share from the rival firm. We show that the problem can be formulated as a stochastic differential game in which players modify a jump-diffusion process using impulse controls. We prove that the value of the game may be represented as a solution to a double obstacle quasi-variational inequality and derive a PDE characterisation (HJBI equation) of the value of the game. We characterise both the saddle point equilibrium and a Nash equilibrium for the zero-sum and non-zero-sum payoff games." @default.
• W2807671714 created "2018-06-13" @default.
• W2807671714 creator A5006156363 @default.
• W2807671714 date "2018-05-28" @default.
• W2807671714 modified "2023-09-27" @default.
• W2807671714 title "Duopoly Investment Problems with Minimally Bounded Adjustment Costs" @default.
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• W2807671714 hasPublicationYear "2018" @default.
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