Optimal stopping with private information

• 成果类型: Article
• 署名作者: Kruse, Thomas; Strack, Philipp
• 署名单位: Universite Paris Saclay; University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2015.03.001
• 发表日期: 2015
• 页码: 702-727
• 关键词: Dynamic mechanism design; optimal stopping; Dynamic implementability; Posted-price mechanism

摘要

Many economic situations are modeled as stopping problems Examples include job search, timing of market entry decisions, irreversible investment or the pricing of American options. This paper analyzes optimal stopping as a mechanism design problem with transfers. We show that under a dynamic single crossing condition a stopping rule can be implemented by a transfer that only depends on the realized stopping decision if and only if it is a cut-off rule. We characterize the transfer implementing a given stopping rule using a novel technique based on constrained stochastic processes. As an application we prove that in any Markovian optimal stopping problem there exists a welfare maximizing mechanism that does not require any communication. We discuss revenue maximization for separable processes. (C) 2015 Elsevier Inc. All rights reserved.