Robust screening under ambiguity

• 成果类型: Article
• 署名作者: Pinar, Mustafa C.; Kizilkale, Can
• 署名单位: Ihsan Dogramaci Bilkent University
• 刊物名称: MATHEMATICAL PROGRAMMING
• ISSN/ISSBN: 0025-5610
• DOI: 10.1007/s10107-016-1063-x
• 发表日期: 2017
• 页码: 273-299
• 关键词: Optimization

摘要

We consider the problem of screening where a seller puts up for sale an indivisible good, and a buyer with a valuation unknown to the seller wishes to acquire the good. We assume that the buyer valuations are represented as discrete types drawn from some distribution, which is also unknown to the seller. The seller is averse to possible mis-specification of types distribution, and considers the unknown type density as member of an ambiguity set and seeks an optimal pricing mechanism in a worst case sense. We specify four choices for the ambiguity set and derive the optimal mechanism in each case.