Related papers: Competitive Robust Dynamic Pricing in Continuous T…
The robust multi-product pricing problem is to determine the prices of a collection of products so as to maximize the worst-case revenue, where the worst case is taken over an uncertainty set of demand models that the firm expects could be…
We study continuous time Bertrand oligopolies in which a small number of firms producing similar goods compete with one another by setting prices. We first analyze a static version of this game in order to better understand the strategies…
We study a continuous-time financial market with continuous price processes under model uncertainty, modeled via a family $\mathcal{P}$ of possible physical measures. A robust notion ${\rm NA}_{1}(\mathcal{P})$ of no-arbitrage of the first…
We test the performance of deep deterministic policy gradient (DDPG), a deep reinforcement learning algorithm, able to handle continuous state and action spaces, to learn Nash equilibria in a setting where firms compete in prices. These…
We study the strategic purchasing of priorities in a time-dependent accumulating priority M/G/$1$ queue. We formulate a non-cooperative game in which customers purchase priority coefficients with the goal of reducing waiting costs in…
Posted price mechanisms are prevalent in allocating goods within online marketplaces due to their simplicity and practical efficiency. We explore a fundamental scenario where buyers' valuations are independent and identically distributed,…
We study the price competition in a duopoly with an arbitrary number of buyers. Each seller can offer multiple units of a commodity depending on the availability of the commodity which is random and may be different for different sellers.…
We study the problem of a seller dynamically pricing $d$ distinct types of indivisible goods, when faced with the online arrival of unit-demand buyers drawn independently from an unknown distribution. The goods are not in limited supply,…
We propose the first discrete-time infinite-horizon dynamic formulation of the financial index tracking problem under both return-based tracking error and value-based tracking error. The formulation overcomes the limitations of existing…
We study the computational complexity of computing Bayes-Nash equilibria in first-price auctions with discrete value distributions and discrete bidding space, under general subjective beliefs. It is known that such auctions do not always…
In this paper, we study the contextual dynamic pricing problem where the market value of a product is linear in its observed features plus some market noise. Products are sold one at a time, and only a binary response indicating success or…
The robust option pricing problem is to find upper and lower bounds on fair prices of financial claims using only the most minimal assumptions. It contrasts with the classical, model-based approach and gained prominence in the wake of the…
We consider a large population dynamic game in discrete time where players are characterized by time-evolving types. It is a natural assumption that the players' actions cannot anticipate future values of their types. Such games go under…
We consider a fundamental generalization of the classical newsvendor problem where the seller needs to decide on the inventory of a product jointly for multiple locations on a metric as well as a fulfillment policy to satisfy the uncertain…
We consider a deterministic continuous time model of monopolistic firm, which chooses production and pricing strategies of a single good. Firm's goal is to maximize the discounted profit over infinite time horizon. The no-backlogging…
We consider a novel formulation of the dynamic pricing and demand learning problem, where the evolution of demand in response to posted prices is governed by a stochastic variant of the popular Bass model with parameters $\alpha, \beta$…
Learning effective pricing strategies is crucial in digital marketplaces, especially when buyers' valuations are unknown and must be inferred through interaction. We study the online contextual pricing problem, where a seller observes a…
In this paper we propose the notion of dynamic deviation measure, as a dynamic time-consistent extension of the (static) notion of deviation measure. To achieve time-consistency we require that a dynamic deviation measures satisfies a…
This article presents a proof of the existence of Bertrand-Nash equilibrium prices with multi-product firms and under the Logit model of demand that does not rely on restrictive assumptions on product characteristics, firm homogeneity or…
We address the generalized Nash equilibrium seeking problem in a partial-decision information scenario, where each agent can only exchange information with some neighbors, although its cost function possibly depends on the strategies of all…