+publisher:"University of Texas – Austin" +contributor:("Boyarchenko, Svetlana I.")

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1. Chiang, Piin-hueih. Essays on timing and identification in a duopoly.

Degree: PhD, Economics, 2013, University of Texas – Austin

URL: http://hdl.handle.net/2152/21760

► Upon making an optimal timing decision, a player takes into consideration not only the actions of the other players, but also the uncertainty of the… (more)

▼ Upon making an optimal timing decision, a player takes into consideration not only the actions of the other players, but also the uncertainty of the environment. I use the real options approach to study the strategic timing decisions of asymmetric firms in an environment with uncertainty. When firms make timing decisions, they take into account the opportunity cost of immediate action today. The second chapter studies the identification in an asymmetric duopoly. The two potential entrants contemplate entering a new market where the demand follows a geometric Brownian motion. I show that under certain parameter conditions there will be an equilibrium triggered by preemption, and both firms could preempt. Moreover, the equilibrium may no longer be only triggered by preemption. I identify the joint distribution of the unobserved investment costs and find the probability of the first entry being triggered by preemption. Given the observation of the first entrant, I can predict the probability of observing the second entrant. The third chapter studies the spillover effect of exit in a vertical relationship. I extend the methodology of irreversible investment under uncertainty to consider exits in a vertical market structure. When the exogenous demand shock is low, one party of the supply chain wants to exit first and will thus lead to the exit of the remaining party. The firm which wants to exit later strategically acts to delay the exit of its counterpart and therefore prevents its own exit. When the state level drops below the unique equilibrium exit threshold, both firms will exit simultaneously. The expected delay in exit timing is derived. The fourth chapter studies the strategic optimal timing of entry in the competition between one-way essential complements under demand uncertainty. The value of a new add-on to its consumers is uncertain. While the rational essential good producing firm recognizes the value of waiting under uncertainty when it contemplates entering the add-on market and endogenously self-selects between the two entry options- to produce or to acquire, the add-on producing firm strategically decides when to agree on acquisition. The impact of profit sharing in the case of acquisition and relative fixed costs of entry on the size and form of the waiting region and the responses of both firms are analyzed. Advisors/Committee Members: Boyarchenko, Svetlana I. (advisor).

Subjects/Keywords: Asymmetric duopoly; Game-theoretic real options

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APA (6^th Edition):

Chiang, P. (2013). Essays on timing and identification in a duopoly. (Doctoral Dissertation). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/21760

Chicago Manual of Style (16^th Edition):

Chiang, Piin-hueih. “Essays on timing and identification in a duopoly.” 2013. Doctoral Dissertation, University of Texas – Austin. Accessed January 21, 2021. http://hdl.handle.net/2152/21760.

MLA Handbook (7^th Edition):

Chiang, Piin-hueih. “Essays on timing and identification in a duopoly.” 2013. Web. 21 Jan 2021.

Vancouver:

Chiang P. Essays on timing and identification in a duopoly. [Internet] [Doctoral dissertation]. University of Texas – Austin; 2013. [cited 2021 Jan 21]. Available from: http://hdl.handle.net/2152/21760.

Council of Science Editors:

Chiang P. Essays on timing and identification in a duopoly. [Doctoral Dissertation]. University of Texas – Austin; 2013. Available from: http://hdl.handle.net/2152/21760

University of Texas – Austin

2. -9814-857X. Experimentation with multiple sources of uncertainty.

Degree: PhD, Economics, 2018, University of Texas – Austin

URL: http://hdl.handle.net/2152/65837

► I study experimentation under two types of uncertainty – the quality and profitability of a risky technology. The quality of the technology can be good or… (more)

▼ I study experimentation under two types of uncertainty – the quality and profitability of a risky technology. The quality of the technology can be good or bad. If the quality is good, then payoffs arrive at the jump times of the standard Poisson process. If the technology is bad it does not generate payoffs. Payoffs are stochastic and the sizes of the realizations depend on the underlying state of the economy. Some payoffs reveal the state completely, others do not. First, I consider an experimenter who chooses an irreversible exit time. I find that, after the first arrival of a payoff, the optimal stopping policy can be characterized by a cutoff belief about the true state of the economy. Before the first payoff, the stopping region of the experimenter is a subset of the space of beliefs about the technology's quality and profitability which cannot be characterized by cutoff beliefs. I find that the experimenter reacts differently to each source of uncertainty or risk, and that the most cost-effective subsidy for such an experimenter is an increase to his highest possible payoff. That is, the optimal subsidy makes the project riskier and subsidizes the experimenter when he is already performing well. Next, I consider an experimenter facing the same environment who also chooses the rate of the Poisson process after each observation of a payoff. While many of the results from chapter 1 carry through, I find that investment in the project in non-monotonic in the persistence of the states of the economy. Finally, I study an experimenter facing an environment similar to that in the first setting, but who has the option to irreversibly deploy his technology at scale, that is, to augment the payoffs in the long-run by making a large investment today. Here I find a rich set of investment and stopping policies, and that the optimal subsidy depends on the objective of the policy makers. Policy makers can encourage experimentation most efficiently by subsidizing the lowest payoff, and can encourage scaling the project by subsidizing the cost of investment. Advisors/Committee Members: Boyarchenko, Svetlana I. (advisor), Stinchcombe, Maxwell (committee member), Wiseman, Thomas (committee member), Feldman, Mark (committee member).

Subjects/Keywords: Optimal stopping; Endogenous arrival rate; Decision under uncertainty; Investment under uncertainty; Real options

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APA (6^th Edition):

-9814-857X. (2018). Experimentation with multiple sources of uncertainty. (Doctoral Dissertation). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/65837