Monthly Archives: May 2013

Seminar on Stochastic R&D Competition with Lower and Upper Bounds

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Speaker: Pelin Gulsah Canbolat

Koç University, Department of Industrial Engineering

pcanbolat@ku.edu.tr

Seminar: A Stochastic R&D Competition with Lower and Upper Bounds

Date / Time: 21.5.2013 / 15.30

Place: IAM – S209 (Seminar Room)

Abstract

Abstract. In this work, we analyze the competition between several firms to complete a project. Each firm decides how much it invests in the project while adhering to firm-specific lower and upper investment bounds. The completion time of the project by a firm has exponential distribution with rate that depends linearly on the investment of the firm. The firm that completes the project first collects all the revenues associated with it and the remaining firms earn nothing. We show that there exists a unique Nash equilibrium and a unique globally optimal solution, in non-degenerate cases. We do this by deriving explicit representations parametric in the interest rate. This enables us to develop a computationally efficient method to solve the problem. We conclude by analyzing the effects of marginal changes in lower and upper bounds.

Joint work with Boaz Golany and Uriel G. Rothblum

Institute of Applied Mathematics, http://www3.iam.metu.edu.tr
Society for Industrial and Applied Mathematics, http://siam.org