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Dynamic Pricing with Stochastic Reference Price Effect 被引量:1
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作者 Xin Chen Zhen-Yu Hu Yu-Han Zhang 《Journal of the Operations Research Society of China》 EI CSCD 2019年第1期107-125,共19页
We study a dynamic pricing problem of a firm facing stochastic reference price effect.Randomness is incorporated in the formation of reference prices to capture either consumers’heterogeneity or exogenous factors tha... We study a dynamic pricing problem of a firm facing stochastic reference price effect.Randomness is incorporated in the formation of reference prices to capture either consumers’heterogeneity or exogenous factors that affect consumers’memory processes.We apply the stochastic optimal control theory to the problem and derive an explicit expression for the optimal pricing strategy.The explicit expression allows us to obtain the distribution of the steady-state reference price.We compare the expected steadystate reference price to the steady-state reference price in a model with deterministic reference price effect,and we find that the former one is always higher.Our numerical study shows that the two steady-state reference prices can have opposite sensitivity to the problem parameters and the relative difference between the two can be very significant. 展开更多
关键词 reference price effect Dynamic pricing Stochastic optimal control
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