Optimal search, learning and implementation

• 成果类型: Article
• 署名作者: Gershkov, Alex; Moldovanu, Benny
• 署名单位: Hebrew University of Jerusalem; Hebrew University of Jerusalem; University of Bonn
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2012.01.012
• 发表日期: 2012
• 页码: 881-909
• 关键词: Dynamic mechanism design; learning; optimal stopping

摘要

We characterize the incentive compatible, constrained efficient policy (second-best) in a dynamic matching environment, where impatient, privately informed agents arrive over time, and where the designer gradually learns about the distribution of agents' values. We also derive conditions on the learning process ensuring that the complete-information, dynamically efficient allocation of resources (first-best) is incentive compatible. Our analysis reveals and exploits close, formal relations between the problem of ensuring implementable allocation rules in our dynamic allocation problems with incomplete information and learning, and between the classical problem, posed by Rothschild (1974) [20], of finding optimal stopping policies for search that are characterized by a reservation price property. (C) 2012 Elsevier Inc. All rights reserved.