Related papers: Dynamic Wholesale Pricing under Censored-Demand Le…
We explore how dynamic entry deterrence operates through feedback strategies in markets experiencing stochastic demand fluctuations. The incumbent firm, aware of its own cost structure, can deter a potential competitor by strategically…
This tutorial describes recently developed general optimality conditions for Markov Decision Processes that have significant applications to inventory control. In particular, these conditions imply the validity of optimality equations and…
This study investigates the dynamic game behaviors of dual-channel supply chains involving an oligopoly manufacturer selling low-carbon products to online and offline retailers. The price game models under government subsidy are discussed…
We study a stylized dynamic assortment planning problem during a selling season of finite length $T$. At each time period, the seller offers an arriving customer an assortment of substitutable products and the customer makes the purchase…
In contextual dynamic pricing, a seller sequentially prices goods based on contextual information. Buyers will purchase products only if the prices are below their valuations. The goal of the seller is to design a pricing strategy that…
Minimizing the peak power consumption and matching demand to supply, under fixed threshold polices, are two key requirements for the success of the future electricity market. In this work, we consider dynamic pricing methods to minimize the…
We investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochastic permanent and temporary price impacts. Moreover,…
We consider a retailer who buys energy in the wholesale market and resells it to final consumers. The retailer has to decide when to intervene to change the price he asks to his customers, in order to maximize his income. We model the…
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…
In this work, a novel Stackelberg game theoretic framework is proposed for trading energy bidirectionally between the demand-response (DR) aggregator and the prosumers. This formulation allows for flexible energy arbitrage and additional…
We present a new discrete time version of Kyle's (1985) classic model of insider trading, formulated as a generalised extensive form game. The model has three kinds of traders: an insider, random noise traders, and a market maker. The…
We study the dynamic pricing problem faced by a monopolistic retailer who sells a storable product to forward-looking consumers. In this framework, the two major pricing policies (or mechanisms) studied in the literature are the…
We study a heterogeneous agent macroeconomic model with an infinite number of households and firms competing in a labor market. Each household earns income and engages in consumption at each time step while aiming to maximize a concave…
Price discrimination, which refers to the strategy of setting different prices for different customer groups, has been widely used in online retailing. Although it helps boost the collected revenue for online retailers, it might create…
We study in detail and explicitly solve the version of Kyle's model introduced in a specific case in \cite{BB}, where the trading horizon is given by an exponentially distributed random time. The first part of the paper is devoted to the…
Privacy is an essential issue in data trading markets. This work uses a mechanism design approach to study the optimal market model to economize the value of privacy of personal data, using differential privacy. The buyer uses a finite…
We study a dynamic market setting where an intermediary interacts with an unknown large sequence of agents that can be either sellers or buyers: their identities, as well as the sequence length $n$, are decided in an adversarial, online…
We study the price-setting problem of market makers under risk neutrality and perfect competition in continuous time. Thereby we follow the classic Glosten-Milgrom model that defines bid and ask prices as expectations of a true value of the…
In this research we study a finite horizon optimal purchasing problem for items with a mean reverting price process. Under this model a fixed amount of identical items are bought under a given deadline, with the objective of minimizing the…
Display advertising is an important online advertising type where banner advertisements (shortly ad) on websites are usually measured by how many times they are viewed by online users. There are two major channels to sell ad views. They can…