Optimal Auction Design for Dynamic Stochastic Environments: Myerson Meets Naor

Yeon-Koo Che and Andrew B. Choi

Papers from arXiv.org

Abstract: Motivated by applications such as cloud computing, gig platforms, and blockchain auctions, we study optimal selling mechanisms for dynamic markets with stochastic supply and demand. In our model, buyers with private valuations and homogeneous goods arrive stochastically and can be held in queues at a cost. The optimal mechanism pairs allocative efficiency with dynamic admission control: goods are assigned to the highest-value buyer, while entry is restricted by value thresholds that strictly increase with the queue length and decrease with available inventory. This policy smooths competitive pressure across time and is implemented in dominant strategies via auctions with dynamic reserve prices.

Date: 2025-05, Revised 2026-02
New Economics Papers: this item is included in nep-des and nep-mic
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2505.22862 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2505.22862

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().