Effect of the Return Policy in a Continuous-Time Newsvendor Problem

摘要

This paper studies the stochastic differential Stackelberg game in a continuous-time newsvendor problem with a return policy, in which one supplier sells products to one retailer and the two parties make the decisions sequentially to maximize their own expected profits. When the demand process is a general jump-diffusion process, we provide a general formula for the equilibrium if it exists. When the demand rate is an Ornstein-Uhlenbeck (O-U) process, we prove the existence and uniqueness of the equilibrium and find an explicit expression for the equilibrium. Computational results show that the return policy has significant impact on the Stackelberg equilibrium.