Fare Game: A Mean Field Model of Stochastic Intensity Control in Dynamic Ticket Pricing
B. Aydin*, E. Parmaksiz†, and R. Sircar*
Mathematics and Financial Economics, 22 January 2026
We study the dynamic pricing of discrete goods over a finite selling horizon. One way to capture both the elastic and stochastic reaction of purchases to price is through a model where sellers control the intensity of a counting process, representing the number of sales thus far. The intensity describes the probabilistic likelihood of a sale, and is a decreasing function of the price a seller sets. A classical model for ticket pricing, which assumes a single seller and infinite time horizon, is by Gallego and van Ryzin (1994) and it has been widely utilized by airlines, for instance. Extending to more realistic settings where there are multiple sellers, with finite inventories, in competition over a finite time horizon is more complicated both mathematically and computationally. We introduce a dynamic mean field game of this type, and some numerical and existence results. In particular, we analyze the associated coupled system of Hamilton-Jacobi-Bellman and Kolmogorov differential-difference equations, and we prove the existence and uniqueness results under certain conditions. Then, we demonstrate a numerical algorithm to find this solution and provide some insights into the macroeconomic market parameters. Finally, we present a preliminary comparison of our findings with airfare data.
Princeton University in Operations Research and Financial Engineering (ORFE) department, advised by Prof. Ronnie Sircar. I did my undergrad in Electrical and Electronics Engineering at 
Boğaziçi University with a minor in Economics.