Related papers: Intertemporal Price Discrimination with Time-Varyi…

We present a general approach to the pricing of products in finance and insurance in the multi-period setting. It is a combination of the utility indifference pricing and optimal intertemporal risk allocation. We give a characterization of…

In this paper, we consider the classic stochastic (dynamic) knapsack problem, a fundamental mathematical model in revenue management, with general time-varying random demand. Our main goal is to study the optimal policies, which can be…

We study the revenue-maximizing mechanism when a buyer's value evolves endogenously because of learning-by-consuming. A seller sells one unit of a divisible good, while the buyer relies on his private, rough valuation to choose his…

We develop a nonparametric approach to identify and estimate consumer preferences and unobserved heterogeneity under nonlinear price schedules. Leveraging variation across multiple price schedules, we show that both the utility function and…

A buyer wishes to purchase a durable good from a seller who in each period chooses a mechanism under limited commitment. The buyer's valuation is binary and fully persistent. We show that posted prices implement all equilibrium outcomes of…

We study the classic setting of envy-free pricing, in which a single seller chooses prices for its many items, with the goal of maximizing revenue once the items are allocated. Despite the large body of work addressing such settings, most…

Price determination is a central research topic of revenue management in marketing. The important aspect in pricing is controlling the stochastic behavior of demand, and the previous studies have tackled price optimization problems with…

The Network Revenue Management (NRM) problem is a well-known challenge in dynamic decision-making under uncertainty. In this problem, fixed resources must be allocated to serve customers over a finite horizon, while customers arrive…

In this paper, we consider a Markov chain choice model with single transition. In this model, customers arrive at each product with a certain probability. If the arrived product is unavailable, then the seller can recommend a subset of…

Personalized pricing analytics is becoming an essential tool in retailing. Upon observing the personalized information of each arriving customer, the firm needs to set a price accordingly based on the covariates such as income, education…

Animals and humans make decisions based on their expected outcomes. Since relevant outcomes are often delayed, perceiving delays and choosing between earlier versus later rewards (intertemporal decision-making) is an essential component of…

Temporal difference (TD) learning is a fundamental algorithm for estimating value functions in reinforcement learning. Recent finite-time analyses of TD with linear function approximation quantify its theoretical convergence rate. However,…

We investigate an optimal stopping problem for the expected value of a discounted payoff on a regime-switching geometric Brownian motion under two constraints on the possible stopping times: only at exogenous random times and only during a…

We consider pricing and selection with fading channels in a Stackelberg game framework. A channel server decides the channel prices and a client chooses which channel to use based on the remote estimation quality. We prove the existence of…

We characterize decreasing impatience, a common behavioral phenomenon in intertemporal choice. Discount factors that display decreasing impatience are characterized through a convexit y axiom for investments at fixed interest rates. Then we…

Discrete choice models are commonly used by applied statisticians in numerous fields, such as marketing, economics, finance, and operations research. When agents in discrete choice models are assumed to have differing preferences, exact…

Motivated by applications where impatience is pervasive and evaluation times are uncertain, we study a selection model where options may expire at an unknown point in time and evaluation times are stochastic. Initially, the decision-maker…

We study how loyalty behavior of customers and differing costs to produce undifferentiated products by firms can influence market outcomes. In prior works that study such markets, firm costs have generally been assumed negligible or equal,…

We study envy-free pricing mechanisms in matching markets with $m$ items and $n$ budget constrained buyers. Each buyer is interested in a subset of the items on sale, and she appraises at some single-value every item in her preference-set.…

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…