Semi-Markov information model for revenue management and dynamic pricing

In traditional airline yield management, when a customer requests a discount fare, the airline must decide whether to sell a seat at the requested discount or to hold the seat in hopes that a customer will arrive later who will pay more. In contrast to that, in dynamic pricing models of revenue management, when faced with a request for a seat the airline quotes a price that may or may not be accepted by that customer. In each approach different type of information is available to the seller and, consequently, there is usually a difference between optimal policies and their expected revenues. On the other hand many structural properties of optimal policies are shared. We provide a framework that includes these two types of models by introducing an information variable into the state description of the decision problem.