Economics

We are interested in the modeling, simulation, and optimization of price dynamics. Whereas up to now research was mainly concerned with financial derivatives, commodities (gas, oil, electricity, industrial or agricultural products, ...) and services (transport, health care, tourism, ...) are posing new challenges. The solution is of highest economic importance. These areas share as a common feature that they involve financial, economic, technological, political and social factors. To obtain solutions of problems arising in these fields, novel models and mathematical and computational methods have to be developed and integrated in an effective and user friendly software.

Two specific applications have been selected and investigated in close cooperation with industrial partners. In one project the pricing of petrochemical products is studied as a typical complex market of commodities, whereas in a second project the pricing of air plane tickets is treated as an example of a market in services. These subprojects seem to be quite disjoint as far as the application is concerned. However, they share several aspects in structure and methodology.

The group has been organizing the international Symposium SOCCER10 on Price Dynamics and Revenue Management.

Selected publications

2019
article
Huschto, T., Podolskij, M., Sager, S.
The asymptotic error of chaos expansion approximations for stochastic differential equations
Modern Stochastics: Theory and Applications
@article{Huschto2019,
    author = {Huschto, T. and Podolskij, M. and Sager, S.},
    title = {The asymptotic error of chaos expansion approximations for stochastic differential equations},
    journal = {Modern {S}tochastics: {T}heory and {A}pplications},
    year = {2019},
    volume = {6},
    number = {2},
    pages = {145--165},
    doi = {10.15559/19-VMSTA133}
}
2017
phdthesis
Rauch, J.
The Airline Pricing Problem
Otto-von-Guericke University Magdeburg
@phdthesis{Rauch2017,
    author = {Rauch, J.},
    title = {The Airline Pricing Problem},
    school = {Otto-von-Guericke University Magdeburg},
    year = {2017},
    url = {https://mathopt.de/publications/Rauch2017.pdf}
}
2014
article
Huschto, T., Sager, S.
Pricing Conspicuous Consumption Products in Recession Periods with Uncertain Strength
European Journal of Decision Processes
@article{Huschto2014,
    author = {Huschto, T. and Sager, S.},
    title = {{P}ricing {C}onspicuous {C}onsumption {P}roducts in {R}ecession {P}eriods with {U}ncertain {S}trength},
    journal = {{E}uropean {J}ournal of {D}ecision {P}rocesses},
    year = {2014},
    volume = {2},
    number = {1--2},
    pages = {3--30},
    url = {http://www.optimization-online.org/DB_HTML/2012/09/3620.html}
}
2014
article
Huschto, T., Sager, S.
Solving Stochastic Optimal Control Problems by a Wiener Chaos Approach
Vietnam Journal of Mathematics
@article{Huschto2014a,
    author = {Huschto, T. and Sager, S.},
    title = {{S}olving {S}tochastic {O}ptimal {C}ontrol {P}roblems by a {W}iener {C}haos {A}pproach},
    journal = {{V}ietnam {J}ournal of {M}athematics},
    year = {2014},
    volume = {42},
    number = {1},
    pages = {83--113},
    url = {https://mathopt.de/publications/Huschto2014a.pdf}
}
2014
phdthesis
Huschto, T.
Numerical Methods for Random Parameter Optimal Control and the Optimal Control of Stochastic Differential Equations
University Heidelberg
@phdthesis{Huschto2014b,
    author = {Huschto, T.},
    title = {{N}umerical {M}ethods for {R}andom {P}arameter {O}ptimal {C}ontrol and the {O}ptimal {C}ontrol of {S}tochastic {D}ifferential {E}quations},
    school = {University Heidelberg},
    year = {2014},
    url = {https://mathopt.de/publications/Huschto2014.pdf}
}
2011
article
Huschto, T., Feichtinger, G., Kort, P., Hartl, R., Sager, S., Seidl, A.
Numerical Solution of a Conspicuous Consumption Model with Constant Control Delay
Automatica
@article{Huschto2011,
    author = {Huschto, T. and Feichtinger, G. and Kort, P.M. and Hartl, R.F. and Sager, S. and Seidl, A.},
    title = {{N}umerical {S}olution of a {C}onspicuous {C}onsumption {M}odel with {C}onstant {C}ontrol {D}elay},
    journal = {{A}utomatica},
    year = {2011},
    volume = {47},
    pages = {1868--1877},
    url = {https://mathopt.de/publications/Huschto2011.pdf},
    doi = {10.1016/j.automatica.2011.06.004}
}
  • currently no upcoming news

...more

Prof. Dr. Sebastian Sager
Head of MathOpt group
at the Institute of Mathematical Optimization
at the Faculty of Mathematics
at the Otto-von-Guericke University Magdeburg

Universitätsplatz 2, 02-224
39106 Magdeburg, Germany

: +49 391 67 58745
:

Susanne Heß

Universitätsplatz 2, 02-201
39106 Magdeburg, Germany

: +49 391 67 58756
:

  • currently no upcoming news

...more

Prof. Dr. Sebastian Sager
Head of MathOpt group
at the Institute of Mathematical Optimization
at the Faculty of Mathematics
at the Otto-von-Guericke University Magdeburg

Universitätsplatz 2, 02-224
39106 Magdeburg, Germany

: +49 391 67 58745
:

Susanne Heß

Universitätsplatz 2, 02-201
39106 Magdeburg, Germany

: +49 391 67 58756
: