Dynamic pricing with limited supply

TLDR

The value of each agent for an item is an independent draw from an unknown distribution supported on [0,1]. The study designs revenue‑maximizing online posted‑price mechanisms for a seller with limited supply, aiming to maximize expected revenue by offering take‑it‑or‑leave‑it prices to sequentially arriving agents. The mechanism involves a seller with k identical items facing n sequentially arriving agents, each desiring one item, to whom the seller offers individualized take‑it‑or‑leave‑it prices to maximize revenue.

Abstract

We consider the problem of designing revenue maximizing online posted-price mechanisms when the seller has limited supply. A seller has k identical items for sale and is facing n potential buyers ("agents") that are arriving sequentially. Each agent is interested in buying one item. Each agent's value for an item is an independent sample from some fixed (but unknown) distribution with support [0,1]. The seller offers a take-it-or-leave-it price to each arriving agent (possibly different for different agents), and aims to maximize his expected revenue.