A Stochastic Differential Equation Driven by Poisson Random Measure and Its Application in a Duopoly Market

Tong Wang and Hao Liang

Mathematical Problems in Engineering, 2020, vol. 2020, 1-12

Abstract:

We investigate a stochastic differential equation driven by Poisson random measure and its application in a duopoly market for a finite number of consumers with two unknown preferences. The scopes of pricing for two monopolistic vendors are illustrated when the prices of items are determined by the number of buyers in the market. The quantity of buyers is proved to obey a stochastic differential equation (SDE) driven by Poisson random measure which exists a unique solution. We derive the Hamilton-Jacobi-Bellman (HJB) about vendors’ profits and provide a verification theorem about the problem. When all consumers believe a vendor’s guidance about their preferences, the conditions that the other vendor’s profit is zero are obtained. We give an example of this problem and acquire approximate solutions about the profits of the two vendors.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:3256859

DOI: 10.1155/2020/3256859

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