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Optimal Production In Monopoly Pricing: A Stochastic And Dynamic Approach


  • Francisco Venegas-Martínez

    (Tecnológico de Monterrey, Campus Ciudad de México)


Este artículo se refiere a un caso especial de regulador lineal estocástico que surge en la planeación óptima de la producción en mercados monopólicos. El proceso de estado consiste en el nivel del inventario y la demanda (ésta última tomada como dada). A su vez, el nivel del inventario considera la producción (variable del control) y la demanda. Varios modelos estocásticos del comportamiento de la demanda se proponen y se discuten. La ecuación de estado es una ecuación lineal estocástica controlada, la cual es conducida por un movimiento Browniano. Los costos se suponen cuadráticos y el modelo LQG (Linear-Quadratic-Gaussian) se utiliza para caracterizar las políticas óptimas de producción-inventario. Finalmente, se proporcionan soluciones analíticas cuando sea posible. En caso contrario, se proporcionan soluciones aproximadas a través del uso de sistemas lineales discretos.

Suggested Citation

  • Francisco Venegas-Martínez, 2002. "Optimal Production In Monopoly Pricing: A Stochastic And Dynamic Approach," Remef - The Mexican Journal of Economics and Finance, Instituto Mexicano de Ejecutivos de Finanzas. Remef, vol. 1(2), pages 153-168, Junio 200.
  • Handle: RePEc:imx:journl:v:1:y:2002:i:2:p:153-168

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    Monopoly; Firm Behavior; Production Planning;

    JEL classification:

    • D42 - Microeconomics - - Market Structure, Pricing, and Design - - - Monopoly
    • D21 - Microeconomics - - Production and Organizations - - - Firm Behavior: Theory
    • D24 - Microeconomics - - Production and Organizations - - - Production; Cost; Capital; Capital, Total Factor, and Multifactor Productivity; Capacity


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