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Infinite-Horizon Mechanism Design: the Independent-Shock Approach

Author

Listed:
  • Alessandro Pavan
  • Ilya Segal
  • Juuso Toikka

Abstract

These notes examine the problem of how to extend envelope theorems to infinite-horizon dynamic mechanism design settings, with an application to the design of "bandit auctions."

Suggested Citation

  • Alessandro Pavan & Ilya Segal & Juuso Toikka, 2010. "Infinite-Horizon Mechanism Design: the Independent-Shock Approach," Discussion Papers 1492, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    • Handle: RePEc:nwu:cmsems:1492
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    File URL: http://faculty.wcas.northwestern.edu/~apa522/Infinite-horizon-June-11.pdf
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    Cited by:

    1. Ying-Ju Chen, 2011. "Optimal Selling Scheme for Heterogeneous Consumers with Uncertain Valuations," Mathematics of Operations Research, INFORMS, vol. 36(4), pages 695-720, November.
    2. Papadimitriou, Christos & Pierrakos, George & Psomas, Alexandros & Rubinstein, Aviad, 2022. "On the complexity of dynamic mechanism design," Games and Economic Behavior, Elsevier, vol. 134(C), pages 399-427.

    More about this item

    Keywords

    asymmetric information; stochastic processes; incentives; mechanism design;
    All these keywords.

    JEL classification:

    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • L1 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance

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