Price Trends in a Dynamic Pricing Model with Heterogeneous Customers: A Martingale Perspective
成果类型：
Article
署名作者：
Xu, Xiaowei; Hopp, Wallace J.
署名单位：
Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark; University of Michigan System; University of Michigan
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.1090.0703
发表日期：
2009
页码：
1298-1302
关键词：
摘要：
This note describes probabilistic properties of optimal price sample paths in a dynamic pricing model with a finite horizon and limited stock. We assume that customer arrivals follow a nonhomogeneous Poisson process. We show that if customers' willingness-to-pay increases rapidly over time, then the optimal price process follows a submartingale, which implies an upward price trend. Alternatively, if customers' willingness-to-pay decreases rapidly over time, then the optimal price process follows a supermartingale, which implies a downward price trend.