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Dynamic Inventory Management with Mean-Field Competition

Ryan Donnelly & Li Zi

Applied Mathematical Finance2025https://doi.org/10.1080/1350486x.2025.2488769article
AJG 2ABDC B
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Abstract

Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as the distribution of other prices quoted in the market by other agents. We propose a model which captures this competitive effect and directly analyse the model in the mean-field limit as the number of agents is very large. We classify mean-field Nash equilibrium in terms of the solution to a Hamilton-Jacobi-Bellman equation and a consistency condition and use this to motivate an iterative numerical algorithm. Convergence of this numerical algorithm yields the pricing strategy of a mean-field Nash equilibrium. Properties of the equilibrium pricing strategies and overall market dynamics are then investigated, in particular how they depend on the strength of the competitive interaction and the ability to oversell the product.

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https://doi.org/https://doi.org/10.1080/1350486x.2025.2488769

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@article{ryan2025,
  title        = {{Dynamic Inventory Management with Mean-Field Competition}},
  author       = {Ryan Donnelly & Li Zi},
  journal      = {Applied Mathematical Finance},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1080/1350486x.2025.2488769},
}

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0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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