We extend stochastic newsvendor games with information lag by including dynamic retail prices, and we characterize their equilibria. We show that the equilibrium wholesale price is a nonincreasing function of the demand, while the retailer's output increases with demand until we recover the usual equilibrium. In particular, it is then optimal for retailer and wholesaler to have demand at least equal to some threshold level, beyond which the retailer's output tends to an upper bound which is absent in fixed retail price models. When demand is given by a delayed Ornstein-Uhlenbeck process and price is an affine function of output, we numerically compute the equilibrium output and we show that the lagged case can be seen as a smoothing of the no lag case.

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The incentive ratio measures the utility gains from strategic behaviour. Without any restrictions on the setup, ratios for linear, Leontief and Cobb-Douglas exchange markets are unbounded, showing that manipulating the equilibrium is a worthwhile endeavour, even if it is computationally challenging. Such unbounded improvements can be achieved even if agents only misreport their utility functions. This provides a sharp contrast with previous results from Fisher markets. When the Cobb-Douglas setup is more restrictive, the maximum utility gain is bounded by the number of commodities. By means of an example, we show that it is possible to exceed a known upper bound for Fisher markets in exchange economies.

This thesis wouldn't have been written without the love, help and support of some people close and dear to me during the last four years. First, my supervisor, Nicolas Privault. Thank you for patiently guiding me through the realms of stochastic calculus and probability theory. You inspired me to work hard and your views on the submission process and on "optimally written" mathematics changed my perspective on things. I am thankful for all the lessons that I carry with me for the rest of my career. I would like to thank my cosupervisor Ning Chen for giving me the chance to enter the PhD programme and for his support during the first few years of my PhD. I thankfully acknowledge Nanyang Technological University for funding me by means of the NTU research scholarship. To my parents, Malka and Eric: you raised me with the post-World War II maxim that no one can take away what you keep inside your head. This thesis is a testimony to that aphorism. I feel forever grateful to you for your unwavering support, love and care. Above all, thank you for teaching me what was not written down in any book. To my sister, Judith: thank you your sweet care over the course of my life. I will never forget how you and Isabelle came to Singapore for the wedding in 2014 and I will cherish your presence there for a lifetime. It wouldn't have been the same without you. I hope this thesis offers you a glimpse into my world. To my wife, Helen: thank you for your love, your patience and all that you did for me over the years. I have learnt many important lessons from you. I couldn't have done it without you and I love you +∞. To my daughter, Emma Ora: you are the best thing that ever happened to me in my life! May you continue to be happy, funny and smart. Remember that your health is your wealth. I feel lucky and privileged to have you in my life and you indeed are my universal light. I dedicate this thesis I to you by promising that I will always try to be a better father tomorrow than I am today. To all my friends who have encouraged and supported me over the last few years: thank you and know that my door is always open for you. Although I cannot mention each and everyone of you here, I would like to specifically mention my NTU friends:

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