Progressive participation

Dirk Bergemann and Philipp Strack ()
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Philipp Strack: Department of Economics, Yale University

Theoretical Economics, 2022, vol. 17, issue 3

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.

Keywords: Dynamic mechanism design; observable arrival; unobservable arrival; repeated sales; interim incentive constraints; interim participation constraints; stopping problem; option value; progressive participation (search for similar items in EconPapers)
JEL-codes: D44 D82 D83 (search for similar items in EconPapers)
Date: 2022-07-14
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Progressive Participation (2021)
Working Paper: Progressive Participation (2020)
Working Paper: Progressive Participation (2020)
Working Paper: Progressive Participation (2020)
Working Paper: Progressive Participation (2020)
Working Paper: Progressive Participation (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:the:publsh:4636

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