Albion College
Mathematics and Computer Science
Stochastic Optimal Control Models for Online Stores
Albert Cohen

Actuarial Program Director

Mathematics AND Statistics and Probability

Michigan State University

We present a model for the optimal design of an online auction/store by a seller. The framework we use is a stochastic optimal control problem. In our setting, the seller wishes to maximize her average wealth level, where she can control her price per unit via her reputation level. The corresponding Hamilton-Jacobi-Bellmann equation is analyzed for an introductory case, and pulsing advertising strategies are recovered for resource allocation.

Paper is available on ArXiv at
3:30 PM
All are welcome!
Palenske 227
October 4, 2012