Dynamic Pricing with Stochastic Reference Price Effect
作者机构：Department of Industrial Enterprise and Systems EngineeringUniversity of Illinois at Urbana-ChampaignUrbanaIL 61801USA NUS Business SchoolNational University of SingaporeSingapore 119245Singapore Two Sigma InvestmentsNew YorkNY 10036USA
出 版 物：《Journal of the Operations Research Society of China》 (中国运筹学会会刊（英文）)
年 卷 期：2019年第7卷第1期
页 面：107-125页
核心收录：
学科分类：0202[经济学-应用经济学] 02[经济学] 020205[经济学-产业经济学]
基 金：This research is partly supported by the National Science Foundation(Nos.CMMI-1030923,CMMI-1363261,CMMI-1538451 and CMMI-1635160) the National Natural Science Foundation of China(Nos.71228203,71201066 and 71520107001) research Grant of National University of Singapore(Project R-314-000-105-133)
主 题：Reference price effect Dynamic pricing Stochastic optimal control
摘 要：We study a dynamic pricing problem of a firm facing stochastic reference price *** is incorporated in the formation of reference prices to capture either consumers’heterogeneity or exogenous factors that affect consumers’memory *** apply the stochastic optimal control theory to the problem and derive an explicit expression for the optimal pricing *** explicit expression allows us to obtain the distribution of the steady-state reference *** compare the expected steadystate reference price to the steady-state reference price in a model with deterministic reference price effect,and we find that the former one is always *** numerical study shows that the two steady-state reference prices can have opposite sensitivity to the problem parameters and the relative difference between the two can be very significant.
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