需求与研发水平不确定下Stackelberg博弈研发投资决策  

Stackelberg Game R&D Investment Decision under Uncertainty of Demand and R&D Level

作　　者：谢祥添 Xie Xiangtian(Key Lab of Science&Technology in Finance,Guangdong University of Finance,Guangzhou 510521,China)

机构地区：[1]广东金融学院科技金融重点实验室,广东广州510521

出　　处：《科技管理研究》2021年第17期78-84,共7页Science and Technology Management Research

基　　金：国家自然科学基金项目“适应复杂需求的SMPEs运营作业系统管理与优化研究”(71271060);“订单式生产人工作业系统(MTO/MOS)组织与优化研究”(70971026);广州市哲学社会科学“十三五”规划课题“基于科技金融大数据下科技企业价值评估与风险管理研究”(2018GZYB91)

摘　　要：考虑需求与研发水平不确定性以及研发竞争,构建需求服从带随机跳跃的几何布朗运动。在此基础上,运用实物期权和Stackelberg博弈建立领先者与追随者研发投资决策模型。通过对模型的研究表明,研发成功率影响博弈均衡。当领先者的平均研发成功率高于两者期权相切对应的成功率,抢先均衡;否则,序贯均衡。企业随着需求波动的增加,竞争者研发水平的提高或竞争者研发成功致使自身需求下降幅度的增加而推迟研发投资,随着自身研发水平的提高而提前研发投资。最后,采用一个算例验证模型的有效性。Considering the uncertainty of demand and R&D level,and R&D competition,we construct a geometric Brownian motion with random jump.On this basis,we use real options and Stackelberg game to establish a leader and follower R&D investment decision model.The research on the model shows that the R&D success rate affects the game equilibrium.When the average R&D success rate of the leader is higher than the corresponding success rate of the tangent of the two option values,there is a preemptive equilibrium,otherwise,there is a sequential equilibrium.Company should postpone R&D investment as the demand fluctuation increases,the competitor's R&D level increases or the degree of declining in demand increases as R&D success of competitor,advance R&D investment as self R&D level increases.Finally,the validity of the model is verified empirically.

关 键 词：研发投资 期权博弈 STACKELBERG博弈 需求与研发水平不确定 几何布朗运动 

分 类 号：F403.6[经济管理—产业经济]