关键词: R&, D投资, 期权博弈, 投资阈值, 占先策略, 混合策略

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.

Key words: R&, D investment, Option game, Optimal investment threshold value, Mixed investment strategy, Menace of preemption