B60.4308: Applications of Stochastic Control to Revenue Management.
Spring 03

This course is designed for Ph.D. students in the areas of operations management, economics, and marketing. From a theoretical perspective, the course covers the fundamental theory of optimal control for deterministic and stochastic. From a practical standpoint, the course discusses the growing literature on Revenue Management and their applications to dynamic pricing and capacity control. The course content shall include book chapters and published research articles.

Instructor: René Caldentey

Room 8-77, KMC

Telephone 212-998-0298

Email rcaldent@stern.nyu.edu

http://www.stern.nyu.edu/~rcaldent

Lectures: Thursdays 9:00AM –12:00AM (15-minute Break), Room 8-50, KMC

Syllabus: [PDF]

Classnotes:

- Rev. Mgmnt. Overview [PDF]

- Intro. Calculus of Variations [PDF]

- Deterministic Optimal Control [PDF]

- Deterministic DP [PDF]

- Deterministic Control and Myopic Solution [PDF]

- Point Process Control [PDF]

- Diffusion Process and SDE [PDF]

Problem Sets:

- Homework 1 [PDF]

- Homework 2 [PDF]

- Midterm Review [PDF]

- Homework 3 [PDF]

- Homework 4 [PDF]

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References:

- Bitran, R. Caldentey. 2002. An Overview of Pricing Models for Revenue Management. Submitted to MSOM.[PDF]

- Caldentey, R., L. Wein. 2002. Revenue Management of a Make-to-Stock Queue. Working Paper. [PDF]

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