TY  - GEN
AB  - We study a continuous-time problem of public good contribution under uncertainty
for an economy with a finite number of agents. Each agent aims to maximize his expected
utility allocating his initial wealth over a given time period between private consumption and
repeated but irreversible contributions to increase the stock of some public good. We study the
corresponding social planner problem and the case of strategic interaction between the agents.
These problems are set up as stochastic control problems with both monotone and classical controls
representing the cumulative contribution into the public good and the consumption of the
private good, respectively. We characterize the optimal investment policies by a set of necessary
and sufficient stochastic Kuhn-Tucker conditions, which in turn allow to identify a universal signal
process that triggers the public good investments. Further we show that our model exhibits
a dynamic free rider effect. We explicitly evaluate it in a symmetric Black-Scholes setting with
Cobb-Douglas utilities and we show that uncertainty and irreversibility of public good provisions
need not affect the degree of free-riding.
DA  - 2015
KW  - irreversible investment
KW  - public good contribution
KW  - free-riding
KW  - singular stochastic control
KW  - first order conditions for optimality
KW  - stochastic games
KW  - Nash equilibrium
KW  - Lévy processes
LA  - eng
PY  - 2015
SN  - 0931-6558
SP  - 30-
TI  - Continuous-Time Public Good Contribution under Uncertainty
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-29014502
Y2  - 2024-11-22T12:04:24
ER  -