Modeling Correlation in Competitive Revenue Management
Industrial Engineering Department, Boğaziçi University
We model a competitive revenue management game where two firms choose their prices to maximize their revenues. Respective valuations of the firms by consumers (consumers' willingness-to-pay) are correlated random variables. A consumer who is willing to pay a higher than average price to a product or service may be willing to pay a lower or higher than average price for its competitor. We discuss structural properties of the problem, show the existence of the unique price equilibrium, and present interesting comparative statics of the game for the case where the willingness-to-pay random variables take a particular bivariate exponential distribution.
Joint work with Engin Yıldız and Taner Bilgiç.
Dr. Refik Güllü is a Professor of Industrial Engineering at Boğaziçi University. Prior to joining Boğaziçi IE in 2005, he was a faculty member at Middle East Technical University (METU) IE Department. Refik Güllü obtained B.S. and M.S. degrees from METU IE Department, and M.S. and PhD. degrees from Cornell University School of ORIE. Dr. Güllü is mainly interested in stochastic models of production/inventory and systems. Recently, he has started working on quantitative finance models. He has participated in several applied research projects in the areas of production and inventory planning, logistics and forecasting. He recently completed his service as the chair of IE Department at Boğaziçi University. He currently serves as the Chair of Financial Engineering Program at Bogazici University, and the Chair of the Mathematical Modeling Section of International Society for Inventory Research.
Friday, April 27, 2018 at 4.00 pm in IE03