Research@StAndrews
 
The University of St Andrews

Research@StAndrews:FullText >
Economics & Finance (School of) >
Economics & Finance >
Economics & Finance Theses >

Please use this identifier to cite or link to this item: http://hdl.handle.net/10023/893
This item has been viewed 56 times in the last year. View Statistics

Files in This Item:

File Description SizeFormat
Wen-Kai Wang PhD thesis.PDF1.79 MBAdobe PDFView/Open
Title: Application of stochastic differential games and real option theory in environmental economics
Authors: Wang, Wen-Kai
Supervisors: Ewald, Christian-Oliver
Keywords: Differential games
Real options
Stochastic optimal control
Public goods
Fisheries
Maximum sustainable yields
Cox-Ross-Ingersoll process
Environmental economics
Issue Date: 23-Dec-2009
Abstract: This thesis presents several problems based on papers written jointly by the author and Dr. Christian-Oliver Ewald. Firstly, the author extends the model presented by Fershtman and Nitzan (1991), which studies a deterministic differential public good game. Two types of volatility are considered. In the first case the volatility of the diffusion term is dependent on the current level of public good, while in the second case the volatility is dependent on the current rate of public good provision by the agents. The result in the latter case is qualitatively different from the first one. These results are discussed in detail, along with numerical examples. Secondly, two existing lines of research in game theoretic studies of fisheries are combined and extended. The first line of research is the inclusion of the aspect of predation and the consideration of multi-species fisheries within classical game theoretic fishery models. The second line of research includes continuous time and uncertainty. This thesis considers a two species fishery game and compares the results of this with several cases. Thirdly, a model of a fishery is developed in which the dynamic of the unharvested fish population is given by the stochastic logistic growth equation and it is assumed that the fishery harvests the fish population following a constant effort strategy. Explicit formulas for optimal fishing effort are derived in problems considered and the effects of uncertainty, risk aversion and mean reversion speed on fishing efforts are investigated. Fourthly, a Dixit and Pindyck type irreversible investment problem in continuous time is solved, using the assumption that the project value follows a Cox-Ingersoll- Ross process. This solution differs from the two classical cases of geometric Brownian motion and geometric mean reversion and these differences are examined. The aim is to find the optimal stopping time, which can be applied to the problem of extracting resources.
URI: http://hdl.handle.net/10023/893
Type: Thesis
Publisher: University of St Andrews
Appears in Collections:Economics & Finance Theses



This item is protected by original copyright

This item is licensed under a Creative Commons License
Creative Commons

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

 

DSpace Software Copyright © 2002-2012  Duraspace - Feedback
For help contact: Digital-Repository@st-andrews.ac.uk | Copyright for this page belongs to St Andrews University Library | Terms and Conditions (Cookies)