- 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...
Expand abstract - Publication status:
- Published
- Peer review status:
- Peer reviewed
- Publisher copy:
- 10.1093/imaman/dpz003
-
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- 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
- Pubs id:
-
pubs:847320
- URN:
-
uri:de9ca621-5cbb-47e5-935d-ac3f9a5b0c4c
- UUID:
-
uuid:de9ca621-5cbb-47e5-935d-ac3f9a5b0c4c
- Local pid:
- pubs:847320
- 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.
Journal article
Dynamic pricing in retail with diffusion process demand
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