Progressive Participation

Dirk Bergemann and Philipp Strack ()

No 2189R4, Cowles Foundation Discussion Papers from Cowles Foundation for Research in 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.

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)
Pages: 54 pages
Date: 2019-08, Revised 2021-07
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Theoretical Economics (July 2022), 17(3): 1007–1039

Downloads: (external link)
https://cowles.yale.edu/sites/default/files/files/pub/d21/d2189-r4.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Journal Article: Progressive participation (2022)
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)
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:cwl:cwldpp:2189r4

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Brittany Ladd ().