Related papers: The Persuasion Duality
Selling a perfectly divisible item to potential buyers is a fundamental task with apparent applications to pricing communication bandwidth and cloud computing services. Surprisingly, despite the rich literature on single-item auctions,…
We provide a new, much simplified and straightforward proof to a result of Pavlov [2011] regarding the revenue maximizing mechanism for selling two goods with uniformly i.i.d. valuations over intervals $[c,c+1]$, to an additive buyer. This…
An informed sender communicates with an uninformed receiver through a sequence of uninformed mediators; agents' utilities depend on receiver's action and the state. For any number of mediators, the sender's optimal value is characterized.…
This paper studies the continuous time utility maximization problem on consumption with addictive habit formation in incomplete semimartingale markets. Introducing the set of auxiliary state processes and the modified dual space, we embed…
We study the power of price discrimination via an intermediary in bilateral trade, when there is a revenue-maximizing seller selling an item to a buyer with a private value drawn from a prior. Between the seller and the buyer, there is an…
It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion based on acceptable shortfall risks.…
We study a dynamic model of Bayesian persuasion in sequential decision-making settings. An informed principal observes an external parameter of the world and advises an uninformed agent about actions to take over time. The agent takes…
We provide three new proofs of the strong concavity of the dual function of some convex optimization problems. For problems with nonlinear constraints, we show that the the assumption of strong convexity of the objective cannot be weakened…
We consider a dynamic model of Bayesian persuasion in which information takes time and is costly for the sender to generate and for the receiver to process, and neither player can commit to their future actions. Persuasion may totally…
We examine information structure design, also called "persuasion" or "signaling", in the presence of a constraint on the amount of communication. We focus on the fundamental setting of bilateral trade, which in its simplest form involves a…
We study extensions to higher dimensions of the classical Bayesian sequential testing and detection problems for Brownian motion. In the main result we show that, for a large class of problem formulations, the cost function is unilaterally…
In display advertising, advertisers want to achieve a marketing objective with constraints on budget and cost-per-outcome. This is usually formulated as an optimization problem that maximizes the total utility under constraints. The…
This paper considers a general convex constrained problem setting where functions are not assumed to be differentiable nor Lipschitz continuous. Our motivation is in finding a simple first-order method for solving a wide range of convex…
Pricing decisions of companies require an understanding of the causal effect of a price change on the demand. When real-life pricing experiments are infeasible, data-driven decision-making must be based on alternative data sources such as…
We consider a Bayesian persuasion or information design problem where the sender tries to persuade the receiver to take a particular action via a sequence of signals. This we model by considering multi-phase trials with different…
This paper studies duality and optimality conditions in general convex stochastic optimization problems introduced by Rockafellar and Wets in 1976. We derive an explicit dual problem in terms of two dual variables, one of which is the…
Bayesian optimization is a sample-efficient approach to global optimization that relies on theoretically motivated value heuristics (acquisition functions) to guide its search process. Fully maximizing acquisition functions produces the…
The tension between persuasion and privacy preservation is common in real-world settings. Online platforms should protect the privacy of web users whose data they collect, even as they seek to disclose information about these data to…
This paper addresses the problem of stochastic optimization with decision-dependent uncertainty, a class of problems where the probability distribution of the uncertain parameters is influenced by the decision-maker's actions. While recent…
We pursue robust approach to pricing and hedging in mathematical finance. We consider a continuous time setting in which some underlying assets and options, with continuous paths, are available for dynamic trading and a further set of…