Dynamic Mechanisms with Martingale Utilities
Dynamic Mechanisms with Martingale Utilities
复制标题
带有 Martingale 实用程序的动态机制
DOI：
10.2139/ssrn.2821261
复制
发表时间：
2017
期刊：
影响因子：
--
通讯作者：
R. Leme
中科院分区：
文献类型：
--
作者：
S. Balseiro;V. Mirrokni;R. Leme
研究了卖方向具有私人价值的买方重复出售独立物品的动态机制设计问题。在这种情况下，卖方可以通过运行有效的拍卖并在开始时收取前期参与费来提取整个买方盈余。在某些市场，如互联网广告，参与费是不切实际的，因为买家希望在购买之前检查物品。这促使我们研究设计的动态机制下，连续更严格的要求，捕捉这些市场的隐含的业务约束。我们首先考虑一个周期性的个人理性约束，这限制了机制，以收取最多的买方的价值在每个时期。虽然这避免了大量的前期参与费，但卖方仍然可以设计机制，将参与费分摊到前几次拍卖中。这些机制有一个不吸引人的特点，即它们在早期拍卖中提供接近于零的买方效用，以换取后期拍卖中更高的效用。为了解决这个问题，我们引入了一个{鞅效用约束，它要求从买方的角度来看，下一个项目的预期效用等于目前的。我们的主要结果是提供了一个动态拍卖满足鞅效用和周期性的个人理性的损失利润相对于第一最好的（完全提取买方剩余）是最优的多对数因子。所提出的机制是一个动态的两层拍卖与硬地板和软地板分配的项目时，买方的出价高于硬地板和收费的最低出价和软地板。
We study the dynamic mechanism design problem of a seller who repeatedly sells independent items to a buyer with private values. In this setting, the seller could potentially extract the entire buyer surplus by running efficient auctions and charging an upfront participation fee at the beginning of the horizon. In some markets, such as internet advertising, participation fees are not practical since buyers expect to inspect items before purchasing them. This motivates us to study the design of dynamic mechanisms under successively more stringent requirements that capture the implicit business constraints of these markets. We first consider a periodic individual rationality constraint, which limits the mechanism to charge at most the buyer's value in each period. While this prevents large upfront participation fees, the seller can still design mechanisms that spread a participation fee across the first few auctions. These mechanisms have the unappealing feature that they provide close-to-zero buyer utility in earlier auctions in exchange for higher utility in later auctions. To address this problem, we introduce a {martingale utility constraint, which imposes the requirement that from the perspective of the buyer, the next item's expected utility is equal to the present one's. Our main result is providing a dynamic auction satisfying martingale utility and periodic individual rationality whose loss in profit with respect to first-best (full extraction of buyer surplus) is optimal up to polylogarithmic factors. The proposed mechanism is a dynamic two-tier auction with a hard floor and a soft floor that allocates the item whenever the buyer's bid is above the hard floor and charges the minimum of the bid and the soft floor.
DOI：
10.1016/j.jet.2015.07.016
发表时间：
2015-09
期刊：
J. Econ. Theory
影响因子：
--
作者：
Mustafa Akan;B. Ata;James D Dana
通讯作者：
Mustafa Akan;B. Ata;James D Dana
DOI：
10.1093/restud/rdv003
发表时间：
2015-04
期刊：
The Review of Economic Studies
影响因子：
--
作者：
Daniel Krähmer;Roland Strausz
通讯作者：
Daniel Krähmer;Roland Strausz