ABSTRACT

In this paper, we extend the classic optimal research and development (R&D) investment model into the regime-switching environment. We formulate a robust model to obtain the maximal net value function of the R&D project under a family of real-world measures, which can also be regarded as a stochastic differential game. Then, the verification argument is provided. Though we do not find the closed-form solution, we give a numerical simulation to further study the qualities of the solution to our model.

中文翻译：

---

体制转换环境下技术不确定性下稳健的最优研发投资

摘要

在本文中，我们将经典的最优研发（R&D）投资模型扩展到制度转换环境中。我们制定了一个稳健的模型，以获得研发项目在一系列真实世界度量下的最大净值函数，这也可以看作是随机微分博弈。然后，提供验证参数。虽然我们没有找到封闭形式的解决方案，但我们给出了数值模拟来进一步研究我们模型的解决方案的质量。