Browsing Matematisk institutt by Author "Sandal, Leif Kristoffer"
Now showing items 1-3 of 3
-
Stackelberg equilibria in continuous newsvendor models with uncertain demand and delayed information Øksendal, Bernt; Sandal, Leif Kristoffer; Ubøe, Jan (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)We consider explicit formulae for equilibrium prices in a continuous-time vertical contracting model. A manufacturer sells goods to a retailer, and the objective of both parties is to maximize expected profits. Demand is ...
-
Øksendal, Bernt; Sandal, Leif Kristoffer; Ubøe, Jan (Research report / Forskningsrapport, 2011)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 ...
-
Øksendal, Bernt; Sandal, Leif Kristoffer; Ubøe, Jan (Journal article / Tidsskriftartikkel / SubmittedVersion, 2013)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 ...