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Dynamic Pricing with Demand Learning Under Competition

Dynamic Pricing with Demand Learning Under Competition PDF Author: Carine Anne Marie Simon
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Languages : en
Pages : 204

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Book Description
(cont.) Finally, we consider closed-loop strategies in a duopoly market when demand is stochastic. Unlike open-loop policies (such policies are computed once and for all at the beginning of the time horizon), closed loop policies are computed at each time period, so that the firm can take advantage of having observed the past random disturbances in the market. In a closed-loop setting, subgame perfect equilibrium is the relevant notion of equilibrium. We investigate the existence and uniqueness of a subgame perfect equilibrium strategy, as well as approximations of the problem in order to be able to compute such policies more efficiently.