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Progressive participation

Author

Listed:
  • Bergemann, Dirk

    (Department of Economics, Yale University)

  • Strack, Philipp

    (Department of Economics, Yale University)

Abstract

A single seller faces a sequence of buyers with unit demand. The buyers are forward-looking and long-lived. Each buyer has private information about his arrival time and valuation where the latter evolves according to a geometric Brownian motion. Any incentive-compatible mechanism has to induce truth-telling about the arrival time and the evolution of the valuation. We establish that the optimal stationary allocation policy can be implemented by a simple posted price. The truth-telling constraint regarding the arrival time can be represented as an optimal stopping problem which determines the first time at which the buyer participates in the mechanism. The optimal mechanism thus induces progressive participation by each buyer: he either participates immediately or at a future random time.

Suggested Citation

  • Bergemann, Dirk & Strack, Philipp, 2022. "Progressive participation," Theoretical Economics, Econometric Society, vol. 17(3), July.
    • Handle: RePEc:the:publsh:4636
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    Cited by:

    1. Garrett, Daniel F., 2023. "Ready to trade? On budget-balanced efficient trade with uncertain arrival," Games and Economic Behavior, Elsevier, vol. 138(C), pages 161-170.

    More about this item

    Keywords

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    JEL classification:

    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness

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