Investments in electricity markets contain high uncertainties about the future. It can also be seen as a game, as only a number of large players act in the market. A dynamic stochastic oligopolistic model to describe the production and investment in such a situation is developed and applied to the Nigerian electricity market. The demand growth rate is modeled as a stochastic variable with a time horizon of ten years. The strategies of firms consist of investment and production levels for base and peak load periods. The firms employ hydro, gas and steam capacities. Using the Sample-Path Adopted Open Loop Information Structure, the model contributes to the understanding of the dynamics of production, investment, and market power in medium time horizon.
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