Robust Dynamic Pricing Over Infinite Horizon in The Presence of Model Uncertainty( 2* Journal)

This paper studies a problem of dynamic pricing faced by a retailer with limited inventory, uncertain about the demand rate model, aiming to maximize expected discounted revenue over an infinite time horizon. The retailer doubts his demand model which is generated by historical data and views it as an approximation. Uncertainty in the demand rate model is represented by a notion of generalized relative entropy process, and the robust pricing problem is formulated as a two-player zero-sum stochastic differential game. The pricing policy is obtained through the Hamilton-Jacobi-Isaacs (HJI) equation. The existence and uniqueness of the solution of the HJI equation is shown and a verification theorem is proved to show that the solution of the HJI equation is indeed the value function of the pricing problem. The results are illustrated by an example with exponential nominal demand rate.

Correlated electron-ion dynamics with open boundaries: formalism

We extend a new formalism, which allows correlated electron-ion dynamics to be applied to the problem of open boundary conditions. We implement this at the first moment level (allowing heating of ions by electrons) and observe the expected cooling in the classical part of the ionic kinetic energy and current-induced heating in the quantum contribution. The formalism for open boundaries should be easily extended to higher moments of the correlated electron-ion fluctuations.

On the solvability of Hamilton's equations in Hilbert spaces

We construct a bounded function $H : l_2\times l_2 \to R$ with continuous Frechet derivative such that for any $q_0\in l_2$ the Cauchy problem $\dot p= - {\partial H\over\partial q}$, $\dot q={\partial H\over\partial p}$, $p(0) = 0$, q(0) = q_0$ has no solutions in any neighborhood of zero in R.

Application of Jacobi algorithm for ISI channels

Here, the Jacobi iterative algorithm is applied to combat intersymbol interference (ISI) caused by frequency-selective channels. The performance bound of the equaliser is analysed in order to gain an insight into its asymptotic behaviour. Because of the error propagation problem, the potential of this algorithm is not reached in an uncoded system. However, its extension to a coded system with the application of the turbo-processing principle results in a new turbo equalisation algorithm, which demonstrates comparable performance with reduced complexity compared with some existing filter-based turbo equalisation schemes; and superior performance compared with some frequency domain solutions, such as orthogonal frequency division multiplexing and single-carrier frequency domain equalisation.