Dynamic Pricing with Stochastic Reference Price Effect
Dynamic Pricing with Stochastic Reference Price Effect
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DOI：
10.1007/s40305-018-0227-1
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发表时间：
2018-11
影响因子：
1.4
通讯作者：
Xin Chen;Zhenyu Hu;Yuhan Zhang
中科院分区：
文献类型：
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作者：
Xin Chen;Zhenyu Hu;Yuhan Zhang
研究了随机参考价格效应下的动态定价问题。随机性被纳入参考价格的形成，以捕捉消费者的异质性或影响消费者记忆过程的外生因素。我们应用随机最优控制理论的问题，并推导出一个明确的表达的最优定价策略。显式表达式允许我们获得稳态参考价格的分布。在具有确定性参考价格效应的模型中，我们比较了期望稳态参考价格和稳态参考价格，发现前者总是更高。我们的数值研究表明，这两个稳态参考价格可以有相反的敏感性的问题的参数和两者之间的相对差异可以是非常显着的。
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 steady-state 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.