A Continuous-Time Yield Management Model with Multiple Prices and Reversible Price Changes
研究允许价格可逆调整的连续时间收益管理模型，假设需求为泊松过程，通过动态定价最大化期望收益，并给出最优解的闭式形式。
This article studies a continuous-time yield management model in which reversible price changes are allowed. We assume that perishable assets are offered at a set of discrete price levels. Demand at each level is a Poisson process. To maximize the expected revenue, management controls the price dynamically as sales evolve. We show that a subset of these prices that form a concave envelope is potentially optimal. We formulate the problem into an intensity control model and derive the optimal solution in closed form. Properties of the optimal solution and their policy implementations are discussed. Numerical examples are provided.