Related papers: Monopoly Pricing in Vertical Markets with Demand U…
Demand estimation plays an important role in dynamic pricing where the optimal price can be obtained via maximizing the revenue based on the demand curve. In online hotel booking platform, the demand or occupancy of rooms varies across…
A monopolist offers personalized prices to consumers with unit demand, heterogeneous values, and idiosyncratic costs, who differ in a protected characteristic, such as race or gender. The seller is subject to a non-discrimination…
Electricity market operators worldwide use mixed-integer linear programming to solve the allocation problem in wholesale electricity markets. Prices are typically determined based on the duals of relaxed versions of this optimization…
In this paper we study a continuous time stochastic inventory model for a commodity traded in the spot market and whose supply purchase is affected by price and demand uncertainty. A firm aims at meeting a random demand of the commodity at…
Demand response (DR) programs play a crucial role in improving system reliability and mitigating price volatility by altering the core profile of electricity consumption. This paper proposes a game-theoretical model that captures the…
Personalized pricing is a business strategy to charge different prices to individual consumers based on their characteristics and behaviors. It has become common practice in many industries nowadays due to the availability of a growing…
Dynamic pricing schemes were introduced as an alternative to posted-price mechanisms. In contrast to static models, the dynamic setting allows to update the prices between buyer-arrivals based on the remaining sets of items and buyers, and…
The rapid deployment of distributed energy resources (DERs) is one of the essential efforts to mitigate global climate change. However, a vast number of small-scale DERs are difficult to manage individually, motivating the introduction of…
Motivated by the dynamic assortment offerings and item pricings occurring in e-commerce, we study a general problem of allocating finite inventories to heterogeneous customers arriving sequentially. We analyze this problem under the…
When sales of a product are affected by randomness in demand, retailers can use dynamic pricing strategies to maximise their profits. In this article the pricing problem is formulated as a stochastic optimal control problem, where the…
We study the optimal pricing strategies of a monopolist selling a divisible good (service) to consumers that are embedded in a social network. A key feature of our model is that consumers experience a (positive) local network effect. In…
This paper considers two important problems -- on the supply-side and demand-side respectively and studies both in a unified framework. On the supply side, we study the problem of energy sharing among microgrids with the goal of maximizing…
Data regulations increasingly enable consumers to switch among market segments, making segmentation an endogenous outcome of strategic interaction. We study a model in which consumers choose segments before a monopolist sets…
We study the problem of designing posted-price mechanisms in order to sell a single unit of a single item within a finite period of time. Motivated by real-world problems, such as, e.g., long-term rental of rooms and apartments, we assume…
We analyze the efficiency of markets with friction, particularly power markets. We model the market as a dynamic system with $(d_t;\,t\geq 0)$ the demand process and $(s_t;\,t\geq 0)$ the supply process. Using stochastic differential…
This paper studies the problem of procuring diverse resources in a forward market to cover a set $\bf{E}$ of uncertain demand signals $\bf{e}$. We consider two scenarios: (a) $\bf{e}$ is revealed all at once by an oracle (b) $\bf{e}$…
Faced with huge market potential and increasing competition in emerging industries, product manufacturers with key technologies tend to consider whether to implement a component open supply strategy. This study focuses on a pricing game…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
Efficiently accommodating uncertain renewable resources in wholesale electricity markets is among the foremost priorities of market regulators in the US, UK and EU nations. However, existing deterministic market designs fail to internalize…
Starting from the Avellaneda-Stoikov framework, we consider a market maker who wants to optimally set bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders she receives depend not only on…