Related papers: A Tale of Two Monopolies
We study mechanisms for selling a single item when buyers have private costs for participating in the mechanism. An agent's participation cost can also be interpreted as an outside option value that she must forego to participate. This…
Magnetic monopoles are studied in the context of a Two Measure Field Theory.
I construct a novel random double auction as a robust bilateral trading mechanism for a profit-maximizing intermediary who facilitates trade between a buyer and a seller. It works as follows. The intermediary publicly commits to charging a…
We consider markets consisting of a set of indivisible items, and buyers that have {\em sharp} multi-unit demand. This means that each buyer $i$ wants a specific number $d_i$ of items; a bundle of size less than $d_i$ has no value, while a…
In practice, auction data are often endogenously censored and anonymous, revealing only limited outcome statistics rather than full bid profiles. We study robust auction design when the seller observes only aggregated, anonymous order…
This paper studies convex duality in optimal investment and contingent claim valuation in markets where traded assets may be subject to nonlinear trading costs and portfolio constraints. Under fairly general conditions, the dual expressions…
This paper develops tools for welfare and revenue analyses of Bayes-Nash equilibria in asymmetric auctions with single-dimensional agents. We employ these tools to derive price of anarchy results for social welfare and revenue. Our approach…
In this article, we study the optimization of resource distributions in a one-dimensional logistic diffusive model. The goal is to determine a distribution on a bounded one-dimensional domain that maximizes the total population at…
This paper reexamines the classic problem of revenue maximization in single-item auctions with $n$ buyers under the lens of the robust optimization framework. The celebrated Myerson's mechanism is the format that maximizes the seller's…
Online Resource Allocation addresses the problem of efficiently allocating limited resources to buyers with incomplete knowledge of future requests. In our setting, buyers arrive sequentially requesting a set of items, each with a value…
Throttling is a popular method of budget management for online ad auctions in which the platform modulates the participation probability of an advertiser in order to smoothly spend her budget across many auctions. In this work, we…
Along with substantial progress made recently in designing near-optimal mechanisms for multi-item auctions, interesting structural questions have also been raised and studied. In particular, is it true that the seller can always extract…
How can we design mechanisms to promote efficient use of shared resources? Here, we answer this question in relation to the well-studied class of atomic congestion games, used to model a variety of problems, including traffic routing.…
This paper studies Markov perfect equilibria in a repeated duopoly model where sellers choose algorithms. An algorithm is a mapping from the competitor's price to own price. Once set, algorithms respond quickly. Customers arrive randomly…
We consider a monopolistic seller in a market that may be segmented. The surplus of each consumer in a segment depends on the price that the seller optimally charges, which depends on the set of consumers in the segment. We study which…
We formulate conditions for the solvability of the problem of robust utility maximization from final wealth in continuous time financial markets, without assuming weak compactness of the densities of the uncertainty set, as customary in the…
We consider a market in which both suppliers and consumers compete for a product via scalar-parameterized supply offers and demand bids. Scalar-parameterized offers/bids are appealing due to their modeling simplicity and desirable…
Very few exact solutions are known for the monopolist's $k$-item $n$-buyer maximum revenue problem with additive valuation in which $k, n >1$ and the buyers $i$ have independent private distributions $F^j_i$ on items $j$. In this paper we…
This paper studies a robust utility maximization problem for intractable claims under distributional ambiguity, where the distribution of the claim cannot be inferred from market information and its dependence with tradable assets is…
We analyze the optimal dividend payment problem in the dual model under constant transaction costs. We show, for a general spectrally positive L\'{e}vy process, an optimal strategy is given by a $(c_1,c_2)$-policy that brings the surplus…