We consider a service provider facing a continuum of delay-sensitive strategic customers. The service provider maximizes revenue by charging customers for the privilege of joining an M/G/1 queue and assigning them service priorities. Each customer has a valuation for the service, with a waiting cost per unit time that is proportional to their valuation; customer types are drawn from a continuou...

This paper studies various approaches to demand learning in the context of a one-shot inventory replenishment problem with dynamic pricing. The customer arrival process is assumed to be piecewise deterministic and Markovian with an unknown parameter. Homogeneous customers have an iso-elastic demand function and do not behave strategically. We study full information, non-learning, passive learni...

This paper studies optimal pricing and demand management policies for a firm that faces two streams of order types: one is composed of recurring regular jobs with pre-determined prices (exogenous prices) and the other involves big deals that require pricing proposals (endogenous prices). The probability to secure the big deals diminishes with the quoted price. The authors develop and compare op...

We consider a service provider facing a continuum of delay-sensitive strategic customers. The service provider maximizes revenue by charging customers for the privilege of joining an M/G/1 queue and assigning them service priorities. Each customer has a valuation for the service, with a waiting cost per unit time that is proportional to their valuation; customer types are drawn from a continuou...

In this paper, we review pricing of the variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings. We present pricing of these products via an optimal stochastic control framework and review the existing numerical methods. We also discuss pricing under the complete/incomple...

W study a firm’s optimal pricing policy under commitment. The firm’s objective is to maximize its longterm average revenue given a steady arrival of strategic customers. In particular, customers arrive over time, are strategic in timing their purchases, and are heterogeneous along two dimensions: their valuation for the firm’s product and their willingness to wait before purchasing or leaving. ...

Recent platforms, like Uber and Lyft, offer service to consumers via “self-scheduling” providers who decide for themselves how often to work. These platforms may charge consumers prices and pay providers wages that both adjust based on prevailing demand conditions. For example, Uber uses a “surge pricing” policy, which pays providers a fixed commission of its dynamic price. We find that the opt...

The market for selling reusable products (e.g., car rental, cloud services and network access resources) is growing rapidly over the last few years, where service providers maximize their revenues through setting the optimal prices. While there has been lots of research on pricing optimization, existing works often ignore dynamic property of demand and the competition among providers. Thus, exi...

A smartphone user’s personal hotspot (pH) allows him to share cellular connection to another (e.g., a traveler) in the vicinity, but such sharing consumes the limited data quota in his two-part tariff plan and may lead to overage charge. This paper studies how to motivate such pH-enabled data-plan sharing between local users and travelers in the ever-growing roaming markets, and proposes pricin...

—The renewable energy generating terminals (REGTs)not only have capability to generate electricity for them own usage but also have surplus electricity to sell to the Power Grid (PG). However, the REGTs are generally selfinterested. Due to the diversity in their supply capacity, REGT shave different preferences toward selling electricity, which is the private information and unknown to the PG....