Pricing problems with a continuum of customers as stochastic Stackelberg games. (English) Zbl 0622.90012
The pricing problem where a company sells a certain kind of product to a continuum of customers is considered. It is formulated as a stochastic Stackelberg game with nonnested information structure. The inducible region concept, recently developed for deterministic Stackelberg games, is extended to treat the stochastic pricing problem. Necessary and sufficient conditions for a pricing scheme to be optimal are derived, and the pricing problem is solved by first delineating its inducible region, and then solving a constrained optimal control problem.
MSC:
| 91B24 | Microeconomic theory (price theory and economic markets) |
| 91A15 | Stochastic games, stochastic differential games |
Keywords:
pricing problem; stochastic Stackelberg game; nonnested information structure; inducible region concept; constrained optimal controlReferences:
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