Browsing NHH Brage by Subject "optimal control of forward-backward stochastic differential equations"
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Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models
(Journal article; Peer reviewed, 2013)In this paper, we prove a maximum principle for general stochastic differential Stackelberg games, and apply the theory to continuous time newsvendor problems. In the newsvendor problem, a manufacturer sells goods to a ...