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Optimal Dynamic Auctions

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  • Mallesh Pai
  • Rakesh Vohra
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    Abstract

    We consider a dynamic auction problem motivated by the traditional single-leg, multi-period revenue management problem. A seller with C units to sell faces potential buyers with unit demand who arrive and depart over the course of T time periods. The time at which a buyer arrives, her value for a unit as well as the time by which she must make the purchase are private information. In this environment, we derive the revenue maximizing Bayesian incentive compatible selling mechanism.

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    Bibliographic Info

    Paper provided by Northwestern University, Center for Mathematical Studies in Economics and Management Science in its series Discussion Papers with number 1461.

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    Date of creation: Mar 2008
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    Handle: RePEc:nwu:cmsems:1461

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    Related research

    Keywords: dynamic mechanism design; optimal auctions; virtual valuation; revelation principle;

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    References

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    1. Alexey Malakhov & Rakesh V. Vohra, 2004. "Single and Multi-Dimensional Optimal Auctions - A Network Approach," Discussion Papers 1397, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    2. Armstrong, Mark, 1996. "Multiproduct Nonlinear Pricing," Econometrica, Econometric Society, vol. 64(1), pages 51-75, January.
    3. Border, Kim C, 1991. "Implementation of Reduced Form Auctions: A Geometric Approach," Econometrica, Econometric Society, vol. 59(4), pages 1175-87, July.
    4. Simon Board, 2008. "Durable-Goods Monopoly with Varying Demand," Review of Economic Studies, Oxford University Press, vol. 75(2), pages 391-413.
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    Cited by:
    1. Said, Maher, 2008. "Auctions with Dynamic Populations: Efficiency and Revenue Maximization," MPRA Paper 11456, University Library of Munich, Germany.
    2. Lev, Omer, 2011. "A two-dimensional problem of revenue maximization," Journal of Mathematical Economics, Elsevier, vol. 47(6), pages 718-727.

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