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dc.contributor.authorØksendal, Bernt
dc.contributor.authorSandal, Leif Kristoffer
dc.contributor.authorUbøe, Jan
dc.identifier.citationJournal of Economic Dynamics and Control 2013, 37(7):1284-1299nb_NO
dc.description-This is the author's version of the article"Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models", Journal of Economic Dynamics and Control, Volume 37, Issue 7, July 2013, Pages 1284–1299.nb_NO
dc.description.abstractIn 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 retailer, and the objective of both parties is to maximize expected profits under a random demand rate. Our demand rate is an Itô–Lévy process, and to increase realism information is delayed, e.g., due to production time. A special feature of our time-continuous model is that it allows for a price-dependent demand, thereby opening for strategies where pricing is used to manipulate the demand.nb_NO
dc.publisherElsevier Ltd.nb_NO
dc.rightsNavngivelse-Ikkekommersiell-IngenBearbeidelse 3.0 Norge*
dc.subjectstochastic differential gamesnb_NO
dc.subjectdelayed informationnb_NO
dc.subjectItô–Lévy processesnb_NO
dc.subjectStackelberg equilibrianb_NO
dc.subjectnewsvendor modelsnb_NO
dc.subjectoptimal control of forward-backward stochastic differential equationsnb_NO
dc.titleStochastic Stackelberg equilibria with applications to time-dependent newsvendor modelsnb_NO
dc.typeJournal articlenb_NO
dc.typePeer reviewed
dc.source.journalJournal of Economic Dynamics and Controlnb_NO

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