کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5098632 | 1376949 | 2013 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models](/preview/png/5098632.png)
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 37, Issue 7, July 2013, Pages 1284-1299
Journal: Journal of Economic Dynamics and Control - Volume 37, Issue 7, July 2013, Pages 1284-1299
نویسندگان
Bernt Ãksendal, Leif Sandal, Jan Ubøe,