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Bid-Price Controls for Network Revenue Management: Martingale Characterization of Optimal Bid Prices
16 references·5 citing·42 second hop
Bid-Price Controls for Network Revenue Management: Martingale Characterization of Optimal Bid Prices (2009)Bid-Price Controls for Network Revenue Ma…Using Lagrangian Relaxation to Compute Capacity-Dependent Bid Prices in Network Revenue Management (2009)Using Lagrangian Relaxation t…Time discretization and Markovian iteration for coupled FBSDEs (2008)Time discretization and Marko…An Asymptotically Optimal Policy for a Quantity-Based Network Revenue Management Problem (2008)An Asymptotically Optimal Pol…Dynamic Bid Prices in Revenue Management (2007)Dynamic Bid Prices in Revenue…Time discretization and Markovian iteration for coupled FBSDEs (2006)Time discretization and Marko…Design and Control of a Large Call Center: Asymptotic Analysis of an LP-Based Method (2006)Design and Control of a Large…Pricing and Revenue Optimization (2005)Pricing and Revenue Optimizat…Martingale methods in stochastic control (2005)Martingale methods in stochas…Dynamic Routing and Admission Control in High-Volume Service Systems: Asymptotic Analysis via Multi-Scale Fluid Limits (2005)Dynamic Routing and Admission…Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Discrete-time approximation a…Revenue Management in a Dynamic Network Environment (2003)Revenue Management in a Dynam…Pricing and revenue optimization (2002)Pricing and revenue optimizat…An Analysis of Bid-Price Controls for Network Revenue Management (1998)An Analysis of Bid-Price Cont…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Black's Consol Rate Conjecture (1995)Black's Consol Rate ConjectureSolving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Solving forward-backward stoc…Applications of fluid models in service operations management (2022)Applications of fluid models …Least squares approximate policy iteration for learning bid prices in choice-based revenue management (2016)Least squares approximate pol…Scalable Dynamic Bid Prices for Network Revenue Management in Continuous Time (2015)Scalable Dynamic Bid Prices f…Up Then Down: Bid‐Price Trends in Revenue Management (2014)Up Then Down: Bid‐Price Trend…Expected Future Value Decomposition Based Bid Price Generation for Large-Scale Network Revenue Management (2012)Expected Future Value Decompo…Controlled Diffusion Processes (1980)Adapted solution of a backward stochastic differential equation (1990)Stochastic Integration and Differential Equations (1990)Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control (1999)A regression-based Monte Carlo method to solve backward stochastic differential equations (2005)The Theory and Practice of Revenue Management (2004)Network revenue management with inventory-sensitive bid prices and customer choice (2011)A latent class choice based model system for railway optimal pricing and seat allocation (2013)Dynamic Pricing of Omnichannel Inventories (2019)Point Processes and Queues (1981)Point Processes and Queues: Martingale Dynamics. (1983)Telephone Call Centers: Tutorial, Review, and Research Prospects (2003)Dynamic Routing in Large-Scale Service Systems with Heterogeneous Servers (2005)Staffing Many-Server Queues with Impatient Customers: Constraint Satisfaction in Call Centers (2009)Staffing and scheduling under nonstationary demand for service: A literature review (2015)A Model for Dynamic Airline Seat Inventory Control with Multiple Seat Bookings (1993)Revenue Management: Research Overview and Prospects (1999)Clearance Pricing Optimization for a Fast-Fashion Retailer (2012)A review of revenue management: Recent generalizations and advances in industry applications (2019)Managing Flexible Products on a Network (2020)A Taxonomy and Research Overview of Perishable-Asset Revenue Management: Yield Management, Overbooking, and Pricing (1992)Yield Management at American Airlines (1992)Optimal Dynamic Pricing of Inventories with Stochastic Demand over Finite Horizons (1994)Airline Yield Management with Overbooking, Cancellations, and No-Shows (1999)Retailer-Supplier Flexible Commitments Contracts: A Robust Optimization Approach (2005)On the Choice-Based Linear Programming Model for Network Revenue Management (2007)The Pricing of Options and Corporate Liabilities (1973)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)Partial Differential Equations (2010)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2006)Numerical solution of stochastic differential equations (2016)Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations (2019)An Approximate Dynamic Programming Approach to Network Revenue Management with Customer Choice (2009)Approximate Dynamic Programming for Ambulance Redeployment (2009)Dynamic Pricing of Perishable Assets Under Competition (2014)Customer Behavior Modeling in Revenue Management and Auctions: A Review and New Research Opportunities (2007)Demand Functions in Decision Modeling: A Comprehensive Survey and Research Directions (2013)Dynamic pricing and learning: Historical origins, current research, and new directions (2015)
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References

  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1994Solving forward-backward stochastic differential equations explicitly — a four step scheme740 cited
  • 2005Pricing and Revenue Optimization602 cited
  • 2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations518 cited
  • 2002Pricing and revenue optimization509 cited
  • 1998An Analysis of Bid-Price Controls for Network Revenue Management412 cited
  • 2007Dynamic Bid Prices in Revenue Management252 cited
  • 2003Revenue Management in a Dynamic Network Environment251 cited
  • 2009Using Lagrangian Relaxation to Compute Capacity-Dependent Bid Prices in Network Revenue Management156 cited
  • 2006Design and Control of a Large Call Center: Asymptotic Analysis of an LP-Based Method145 cited
  • 2006Time discretization and Markovian iteration for coupled FBSDEs106 cited
  • 2008An Asymptotically Optimal Policy for a Quantity-Based Network Revenue Management Problem102 cited
  • 2005Dynamic Routing and Admission Control in High-Volume Service Systems: Asymptotic Analysis via Multi-Scale Fluid Limits84 cited
  • 2008Time discretization and Markovian iteration for coupled FBSDEs84 cited
  • 1995

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Black's Consol Rate Conjecture
62 cited
  • 2005Martingale methods in stochastic control60 cited
  • Cited by

    • 2014Up Then Down: Bid‐Price Trends in Revenue Management20 cited
    • 2022Applications of fluid models in service operations management17 cited
    • 2012Expected Future Value Decomposition Based Bid Price Generation for Large-Scale Network Revenue Management16 cited
    • 2015Scalable Dynamic Bid Prices for Network Revenue Management in Continuous Time15 cited
    • 2016Least squares approximate policy iteration for learning bid prices in choice-based revenue management14 cited