Øksendal, Bernt; Sandal, Leif; Ubøe, Jan - In: Journal of Economic Dynamics and Control 37 (2013) 7, pp. 1284-1299
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...