Many stochastic dynamic sales applications are characterized by time-dependent price elasticities of demand. However, in general, such problems cannot be solved analytically. To determine smart pricing heuristics for general time-dependent dynamic pricing models, we solve a general class of...

In this paper we analyze a stochastic dynamic advertising and pricing model with isoelastic demand. The state space is discrete, time is continuous and the planning horizon is allowed to be finite or infinite. A dynamic version of the Dorfman-Steiner identity will be derived. Explicit...