Details

Autor(en) / Beteiligte

• Yongqiang Wang
• Fuy, M.C.
• Marcusz, S.I.

Titel

Dynamic pricing with continuous stochastic demand

Ist Teil von

• Proceedings of the 48h IEEE Conference on Decision and Control (CDC) held jointly with 2009 28th Chinese Control Conference, 2009, p.8531-8536

Ort / Verlag

IEEE

Erscheinungsjahr

2009

Link zum Volltext

• IEEE_Xplore

Quelle

IEEE Electronic Library (IEL)

Beschreibungen/Notizen

• 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.