Dynamic pricing with continuous stochastic demand

We analyze the problem of dynamic pricing for inventory systems with price-sensitive demand, which is assumed to follow a continuous-time, continuous-state stochastic process. An analytical solution for a special case of the demand is provided. We propose a simulation-based method for solving the pricing problem under a broad range of demand models, assuming a finite number of price changes over the time horizon of interest. We derive unbiased gradient estimators of the profit function with respect to the pricing parameters.