Title :
Dynamic pricing with continuous stochastic demand
Author :
Wang, Yongqiang ; Fuy, Michael C. ; Marcus, Steven I.
Author_Institution :
Dept. of Electr. & Comput. Eng., Univ. of Maryland, College Park, PA, USA
Abstract :
We analyze the problem of dynamic pricing for inventory systems with price-sensitive demand, which is assumed to follow a continuous-time, continuous-state stochastic process. An analytical solution for a special case of the demand is provided. We propose a simulation-based method for solving the pricing problem under a broad range of demand models, assuming a finite number of price changes over the time horizon of interest. We derive unbiased gradient estimators of the profit function with respect to the pricing parameters.
Keywords :
gradient methods; pricing; stochastic processes; continuous-state stochastic process; continuous-time stochastic process; dynamic pricing; inventory systems; price-sensitive demand; profit function; unbiased gradient estimators; Costs; Diffusion processes; Educational institutions; Equations; Inventory management; Pricing; Shape; Stochastic processes; Stochastic systems; Uncertainty; Dynamic Pricing; Gradient Estimation; Inventory; Stochastic Control;
Conference_Titel :
Decision and Control, 2009 held jointly with the 2009 28th Chinese Control Conference. CDC/CCC 2009. Proceedings of the 48th IEEE Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-4244-3871-6
Electronic_ISBN :
0191-2216
DOI :
10.1109/CDC.2009.5400890
