相关论文: The Simplicity of Optimal Dynamic Mechanisms

Pricing financial or real options with arbitrary payoffs in regime-switching models is an important problem in finance. Mathematically, it is to solve, under certain standard assumptions, a general form of optimal stopping problems in…

Maximizing utility with a budget constraint is the primary goal for advertisers in real-time bidding (RTB) systems. The policy maximizing the utility is referred to as the optimal bidding strategy. Earlier works on optimal bidding strategy…

We consider a revenue-maximizing seller with $m$ heterogeneous items and a single buyer whose valuation $v$ for the items may exhibit both substitutes (i.e., for some $S, T$, $v(S \cup T) < v(S) + v(T)$) and complements (i.e., for some $S,…

We study a classic Bayesian mechanism design setting of monopoly problem for an additive buyer in the presence of budgets. In this setting a monopolist seller with $m$ heterogeneous items faces a single buyer and seeks to maximize her…

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…

We study dynamic mechanisms for optimizing revenue in repeated auctions, that are robust to heterogeneous forward-looking and learning behavior of the buyers. Typically it is assumed that the buyers are either all myopic or are all infinite…

A first attempt at obtaining market--directional information from a non--stationary solution of the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. We demonstrate…

The buying and selling of information is taking place at a scale unprecedented in the history of commerce, thanks to the formation of online marketplaces for user data. Data providing agencies sell user information to advertisers to allow…

We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…

We consider a deterministic continuous time model of monopolistic firm, which chooses production and pricing strategies of a single good. Firm's goal is to maximize the discounted profit over infinite time horizon. The no-backlogging…

We consider a dynamic mechanism design problem where an auctioneer sells an indivisible good to groups of buyers in every round, for a total of $T$ rounds. The auctioneer aims to maximize their discounted overall revenue while adhering to a…

In online advertising markets, budget-constrained advertisers acquire ad placements through repeated bidding in auctions on various platforms. We present a strategy for bidding optimally in a set of auctions that may or may not be…

I study the optimal allocation of positional goods in the presence of externalities arising from consumers' concerns about relative consumption. Applications include luxury goods, priority services, education, and organizational…

In this paper we consider multidimensional mechanism design problem for selling discrete substitutable items to a group of buyers. Previous work on this problem mostly focus on stochastic description of valuations used by the seller.…

In contextual dynamic pricing, a seller sequentially prices goods based on contextual information. Buyers will purchase products only if the prices are below their valuations. The goal of the seller is to design a pricing strategy that…

Considering that a trader or a trading algorithm interacting with markets during continuous auctions can be modeled by an iterating procedure adjusting the price at which he posts orders at a given rhythm, this paper proposes a procedure…

Internet advertisers (buyers) repeatedly procure ad impressions from ad platforms (sellers) with the aim to maximize total conversion (i.e. ad value) while respecting both budget and return-on-investment (ROI) constraints for efficient…

Problem definition: Traditional monopoly pricing assumes sellers have full information about consumer valuations. We consider monopoly pricing under limited information, where a seller only knows the mean, variance and support of the…

We study the problem of selling $n$ items to a single buyer with an additive valuation function. We consider the valuation of the items to be correlated, i.e., desirabilities of the buyer for the items are not drawn independently. Ideally,…

Tandem queueing systems are widely-used stochastic models that arise from many real-life service operations systems. Motivated by the desire to understand the trade-off between the performance and complexity of policies for…