^^
I'd be amazed if Sony didn't part fund Killzone 2. In many ways I don't see it as being subject to normal economics of a game.
Sony wanted a big fat FPS with the best graphics on an HD console going, balancing the risk of high cost vs wanting to have a title they felt might help them in US/UK and other 360/FPS centric regions.
With the DLC and it's status it will deliver a profit, and if they get a KZ3 out pretty fast with some improvements and a bit of new stuff (a'la Gears 2) then the cost/return across both titles will likely be fairly acceptable, as KZ3 should cost a lot less than KZ2 with the engine now in place.
In some ways KZ2 is like a loss leader - an expense taken to increase your penetration into a specific market.
Personally I think Sony misjudged the situation for 360 in US, etc. and would be better served focusing on reducing price (which I admit they've done) and getting more titles out that are both in big franchises (they're still working on that with GoW, GT, etc. still to get releases) as well as more titles that are family centric (which I guess they're also working on with Eyepet, the 'Wand' etc.)
Of course, I could be wrong, and GG really covered all costs hoping they would see sales like Epic did with Gears - if anyone has links or knowledge regarding the funding of development I'd be interested to view them.
Try to be reasonable... its easier than you think...
