Name
Title | ||
|---|---|---|
Stackelberg equilibria in a continuous-time vertical contracting model with uncertain demand and delayed information |
Abstract | ||
|---|---|---|
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 an Ito-Levy process, and to increase realism, information is delayed. We provide complete existence and uniqueness proofs for a series of special cases, including geometric Brownian motion and the Ornstein-Uhlenbeck process, both with time-variable coefficients. Moreover, explicit solution formulae are given, so these results are operational. An interesting finding is that information that is more precise may be a considerable disadvantage for the retailer. |
Year | DOI | Venue |
|---|---|---|
2014 | 10.1017/S002190020002129X | JOURNAL OF APPLIED PROBABILITY |
Keywords | Field | DocType |
Vertical contracting,stochastic differential game,delayed information,Ito-Levy process | Uniqueness,Mathematical economics,Mathematical proof,Stackelberg competition,Geometric Brownian motion,Mathematics,Profit (economics) | Journal |
Volume | Issue | ISSN |
51 | A | 0021-9002 |
Citations | PageRank | References |
1 | 0.38 | 5 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Bernt Oksendal | 1 | 89 | 15.84 |
| Leif Sandal | 2 | 29 | 4.69 |
| Jan Ubøe | 3 | 27 | 3.54 |