dc.contributor.author | Øksendal, Bernt | |
dc.contributor.author | Sandal, Leif Kristoffer | |
dc.contributor.author | Ubøe, Jan | |
dc.date.accessioned | 2015-01-21T11:56:22Z | |
dc.date.accessioned | 2015-01-28T13:28:05Z | |
dc.date.available | 2015-01-21T11:56:22Z | |
dc.date.available | 2015-01-28T13:28:05Z | |
dc.date.issued | 2014 | |
dc.identifier.citation | Journal of Applied Probability 2014, 51A:213-226 | nb_NO |
dc.identifier.issn | 1475-6072 | |
dc.identifier.uri | http://hdl.handle.net/11250/274943 | |
dc.description | By permission. Copyright (c) Applied Probability Trust (2014). | |
dc.description.abstract | We consider explicit formulae for equilibrium prices in a continuous-time vertical
contracting model. A manufacturer sells goods to a retailer, and the objective of both
parties is to maximize expected profits. Demand is an Itô–Lévy process, and to increase
realism, information is delayed. We provide complete existence and uniqueness proofs
for a series of special cases, including geometric Brownian motion and the Ornstein–
Uhlenbeck process, both with time-variable coefficients. Moreover, explicit solution
formulae are given, so these results are operational. An interesting finding is that
information that is more precise may be a considerable disadvantage for the retailer.
time-variable coeficients. Moreover, these results are operational because we
are able to offer explicit solution formulas. An interesting finding is that
information that is more precise may be a considerable disadvantage for the
retailer. | en |
dc.language.iso | eng | nb_NO |
dc.rights | Navngivelse-Ikkekommersiell-DelPåSammeVilkår 3.0 Norge | * |
dc.subject | vertical contracting | nb_NO |
dc.subject | stochastic differential game | nb_NO |
dc.subject | delayed information | nb_NO |
dc.subject | Itô– Lévy process | nb_NO |
dc.title | Stackelberg equilibria in continuous newsvendor models with uncertain demand and delayed information | nb_NO |
dc.type | Journal article | nb_NO |
dc.type | Peer reviewed | nb_NO |
dc.date.updated | 2015-01-21T11:56:22Z | |
dc.source.pagenumber | 213-226 | nb_NO |
dc.source.volume | 51A | nb_NO |
dc.source.journal | Journal of Applied Probability | nb_NO |
dc.identifier.doi | 10.1239/jap/1417528477 | |
dc.identifier.cristin | 1197345 | |