Journal article
Dynamic pricing in retail with diffusion process demand
- Abstract:
-
When randomness in demand affects the sales of a product, retailers use dynamic pricing strategies to maximize their profits. In this article, we formulate the pricing problem as a continuous-time stochastic optimal control problem and find the optimal policy by solving the associated Hamilton–Jacobi–Bellman (HJB) equation. We propose a new approach to modelling the randomness in the dynamics of sales based on diffusion processes. The model assumes a continuum approximation to the stock level...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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- Publisher copy:
- 10.1093/imaman/dpz003
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Authors
Bibliographic Details
- Publisher:
- Oxford University Press Publisher's website
- Journal:
- IMA Journal of Management Mathematics Journal website
- Volume:
- 30
- Issue:
- 3
- Pages:
- 323-344
- Publication date:
- 2019-02-21
- Acceptance date:
- 2019-01-22
- DOI:
- EISSN:
-
1471-6798
- ISSN:
-
1471-678X
- Source identifiers:
-
847320
Item Description
- Keywords:
- Pubs id:
-
pubs:847320
- UUID:
-
uuid:de9ca621-5cbb-47e5-935d-ac3f9a5b0c4c
- Local pid:
- pubs:847320
- Deposit date:
- 2019-02-22
Terms of use
- Copyright holder:
- Riseth
- Copyright date:
- 2019
- Notes:
- © The Author(s) 2019. Published by Oxford University Press on behalf of the Institute of Mathematics and its Applications. All rights reserved.
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