dc.date.accessioned | 2013-03-12T08:19:30Z | |
dc.date.available | 2013-03-12T08:19:30Z | |
dc.date.issued | 2011 | en_US |
dc.date.submitted | 2011-07-06 | en_US |
dc.identifier.uri | http://hdl.handle.net/10852/10264 | |
dc.description.abstract | 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 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.
Revised edition 7 February 2012. | eng |
dc.language.iso | eng | en_US |
dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
dc.rights | © The Author(s) (2011). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
dc.title | Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models | en_US |
dc.type | Research report | en_US |
dc.date.updated | 2012-07-18 | en_US |
dc.rights.holder | Copyright 2011 The Author(s) | |
dc.creator.author | Øksendal, Bernt | en_US |
dc.creator.author | Sandal, Leif Kristoffer | en_US |
dc.creator.author | Ubøe, Jan | en_US |
dc.subject.nsi | VDP::410 | en_US |
dc.identifier.cristin | 827650 | en_US |
dc.identifier.urn | URN:NBN:no-28467 | en_US |
dc.type.document | Forskningsrapport | en_US |
dc.identifier.duo | 131979 | en_US |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10264/1/revidert2-6-11.pdf | |