Related papers: Optimal Stopping Theory for a Distributionally Rob…
A firm that sells a non perishable product considers intertemporal price discrimination in the objective of maximizing its long-run average revenue. We consider a general model of patient customers with changing valuations. Arriving…
The ski rental problem is a canonical model for online decision-making under uncertainty, capturing the fundamental trade-off between repeated rental costs and a one-time purchase. While classical algorithms focus on worst-case competitive…
We study the mechanism design problem of selling a public good to a group of agents by a principal in the correlated private value environment. We assume the principal only knows the expectations of the agents' values, but does not know the…
We consider a model of a data broker selling information to a single agent to maximize his revenue. The agent has a private valuation of the additional information, and upon receiving the signal from the data broker, the agent can conduct…
Data buyers compete in a game of incomplete information about which a single data seller owns some payoff-relevant information. The seller faces a joint information- and mechanism-design problem: deciding which information to sell, while…
We consider a model of bilateral trade with private values. The value of the buyer and the cost of the seller are jointly distributed. The true joint distribution is unknown to the designer, however, the marginal distributions of the value…
In a classical optimal stopping problem in continuous time, the agent can choose any stopping time without constraint. Dupuis and Wang (Optimal stopping with random intervention times, Advances in Applied Probability, 34, 141--157, 2002)…
Under non-exponential discounting, we develop a dynamic theory for stopping problems in continuous time. Our framework covers discount functions that induce decreasing impatience. Due to the inherent time inconsistency, we look for…
We study deterministic monopoly pricing under partial knowledge of the market, where the seller has access only to summary statistics of the valuation distribution, such as the mean, dispersion, and maximum value. Using tools from…
We study the mechanism design problem of selling $k$ items to unit-demand buyers with private valuations for the items. A buyer either participates directly in the auction or is represented by an intermediary, who represents a subset of…
When introducing a novel product, a seller sets a price and decides how much information to provide to a buyer, who may incur a search cost to discover an outside option. The buyer knows the outside option distribution; the seller knows…
We study the problem of when to sell an indivisible object. There is a monopolistic seller who owns an indivisible object and plans to sell it over a given span of time to the set of potential buyers whose valuations for the object evolve…
A fundamental economic question is that of designing revenue-maximizing mechanisms in dynamic environments. This paper considers a simple yet compelling market model to tackle this question, where forward-looking buyers arrive at the market…
A buyer wishes to purchase a durable good from a seller who in each period chooses a mechanism under limited commitment. The buyer's valuation is binary and fully persistent. We show that posted prices implement all equilibrium outcomes of…
The topics treated in this thesis are inherently two-fold. The first part considers the problem of a market maker optimally setting bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders…
Auction theory traditionally assumes that bidders' valuation distributions are known to the auctioneer, such as in the celebrated, revenue-optimal Myerson auction. However, this theory does not describe how the auctioneer comes to possess…
A decision maker typically (i) incorporates training data to learn about the relative effectiveness of treatments, and (ii) chooses an implementation mechanism that implies an ``optimal'' predicted outcome distribution according to some…
We study a class of Bayesian online selection problems with matroid constraints. Consider a vendor who has several items to sell, with the set of sold items being subject to some structural constraints, e.g., the set of sold items should be…
Decision making in modern stochastic systems, including e-commerce platforms, financial markets and healthcare systems, has evolved into a multifaceted process that combines information acquisition and adaptive information sources. This…
We consider a mechanism design setting with a single item and a single buyer who is uncertain about the value of the item. Both the buyer and the seller have a common model for the buyer's value, but the buyer discovers her true value only…