Optimal Dynamic Auctions

Mallesh Pai and Rakesh Vohra

No 1461, Discussion Papers from Northwestern University, Center for Mathematical Studies in Economics and Management Science

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.

Keywords: dynamic mechanism design; optimal auctions; virtual valuation; revelation principle (search for similar items in EconPapers)
JEL-codes: D44 C72 C73 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cta, nep-gth and nep-mic
Date: 2008-03
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