Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/10899
Title: Optimal dynamic pricing of inventories with stochastic demand and discounted criterion
Authors: Cao, P
Li, J
Yan, H 
Issue Date: 2012
Source: European journal of operational research, 2012, v. 217, no. 3, p. 580-588
Abstract: We consider a continuous time dynamic pricing problem for selling a given number of items over a finite or infinite time horizon. The demand is price sensitive and follows a non-homogeneous Poisson process. We formulate this problem as to maximize the expected discounted revenue and obtain the structural properties of the optimal revenue function and optimal price policy by the Hamilton-Jacobi-Bellman (HJB) equation. Moreover, we study the impact of the discount rate on the optimal revenue function and the optimal price. Further, we extend the problem to the case with discounting and time-varying demand, the infinite time horizon problem. Numerical examples are used to illustrate our analytical results.
Keywords: Discounted criterion
HJB equation
Optimal pricing
Revenue management
Publisher: Elsevier
Journal: European journal of operational research 
ISSN: 0377-2217
EISSN: 1872-6860
DOI: 10.1016/j.ejor.2011.09.048
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