Perishable Asset Revenue Management with Markovian Time Dependent Demand Intensities
研究在有限时间内销售固定库存的易逝资产（如机票、酒店房间）的最优定价时机问题，通过马尔可夫时变需求强度的一般泊松过程建模，提出变分不等式刻画价值函数并开发高效算法求解最优定价策略。
Many industries face the problem of selling a fixed stock of items over a finite horizon. These industries include airlines selling seats before planes depart, hotels renting rooms before midnight, theaters selling seats before curtain time, and retailers selling seasonal items with long procurement lead times. Given a sunk investment in seats, rooms, or winter coats, the objective for these industries is to maximize revenues in excess of salvage value. When demand is price sensitive and stochastic, pricing is an effective tool to maximize expected revenues. In this paper we address the problem of deciding the optimal timing of price changes within a given menu of allowable, possibly time dependent, price paths each of which is associated with a general Poisson process with Markovian, time dependent, predictable intensities. We show that a set of variational inequalities characterize the value functions and the optimal (possibly random) time changes. In addition, we develop an efficient algorithm to compute the optimal value functions and the optimal pricing policy.