Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models
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Publication:1994259
DOI10.1016/j.jedc.2013.02.010zbMath1402.90010OpenAlexW2076038719MaRDI QIDQ1994259
Jan Ubøe, Bernt Øksendal, Leif Kristoffer Sandal
Publication date: 1 November 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11250/299307
stochastic differential gamesdelayed informationStackelberg equilibriaItô-Lévy processesnewsvendor modelsoptimal control of forward-backward stochastic differential equations
Hierarchical games (including Stackelberg games) (91A65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games (aspects of game theory) (91A23) Inventory, storage, reservoirs (90B05) Stochastic games, stochastic differential games (91A15)
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