Nous proposons ici un modèle de Tarification basé sur une extension du formalisme des Jeux Coopératifs et qui prend en compte la notion d’Élasticité de la Demande. Nous présentons pour ce modèle un résultat d’existence ainsi qu’un algorithme de calcul associé. Nous interprétons enfin ce nouveau concept dans le cas d’un problème de production et nous le prolongeons au cas d’un problème de transport.
We propose here a pricing Model which is an extension of the Cooperative Game concept and which includes a notion of Elastic Demand. We present some existence results as well as some algorithms. We conclude by discussing this model in the context of some Production and Transportation problems.
We take the martingale central limit theorem that was established, together with the rate of convergence, by Liptser and Shiryaev, and adapt it to the multiplicative scheme of financial markets with discrete time that converge to the standard Black-Scholes model. The rate of convergence of put and call option prices is shown to be bounded by . To improve the rate of convergence, we suppose that the increments are independent and identically distributed (but without binomial or similar restrictions...
This paper proposes a specialized LP-algorithm for a sub problem arising in simple Profit maximising Lot-sizing. The setting involves a single (and multi) item production system with negligible set-up costs/times and limited production capacity. The producer faces a monopolistic market with given time-varying linear demand curves.