Øksendal, Bernt; Sandal, Leif K.; Ubøe, Jan - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 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...