Cao, Ping; Li, Jianbin; Yan, Hong - In: European Journal of Operational Research 217 (2012) 3, pp. 580-588
We consider a continuous time dynamic pricing problem for selling a given number of items over a finite or infinite time horizon. The demand is price sensitive and follows a non-homogeneous Poisson process. We formulate this problem as to maximize the expected discounted revenue and obtain the...