Stochastic Stackelberg equilibria with applications to time dependent newsvendor models

@inproceedings{ksendal2011StochasticSE,
  title={Stochastic Stackelberg equilibria with applications to time dependent newsvendor models},
  author={Bernt \Oksendal and Leif Sandal and Jan Ub\oe},
  year={2011}
}
In this paper we prove a sufficient 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. We provide complete existence and uniqueness… CONTINUE READING

From This Paper

Figures, tables, and topics from this paper.
7 Citations
17 References
Similar Papers

References

Publications referenced by this paper.
Showing 1-10 of 17 references

Çakanyıldırım and SP

  • A. M. Bensoussan
  • Production and Operations Management,
  • 2009
Highly Influential
8 Excerpts

Applied Stochastic Control of Jump Diffusions

  • B Øksendal, A. Sulem
  • 2007
Highly Influential
11 Excerpts

Sufficient stochastic maximum principle for optimal control of jump diffusions and applications to finance

  • N Framstad, B. Øksendal, A. Sulem
  • J. Opt. Theor
  • 2004
Highly Influential
7 Excerpts

Real option valuation principle in the multi-period base-stock problem

  • P. Berling
  • Omega
  • 2006
3 Excerpts

Similar Papers

Loading similar papers…