Details

Autor(en) / Beteiligte

• Bergemann, Dirk
• Strack, Philipp

Titel

Dynamic revenue maximization: A continuous time approach

Ist Teil von

• Journal of economic theory, 2015-09, Vol.159, p.819-853

Ort / Verlag

New York: Elsevier Inc

Erscheinungsjahr

2015

Link zum Volltext

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• We characterize the revenue-maximizing mechanism for time separable allocation problems in continuous time. The willingness-to-pay of each agent is private information and changes over time. We derive the dynamic revenue-maximizing mechanism, analyze its qualitative structure and frequently derive its closed form solution. In the leading example of repeat sales of a good or service, we establish that commonly observed contract features such as flat rates, free consumption units and two-part tariffs emerge as part of the optimal contract. We investigate in detail the environments in which the type of each agent follows an arithmetic or geometric Brownian motion or a mean-reverting process. We analyze the allocative distortions and show that depending on the nature of the private information the distortion might increase or decrease over time.