Mean field equilibria of dynamic auctions with learning: A dynamic revenue equivalence theorem

@article{Iyer2011MeanFE,
  title={Mean field equilibria of dynamic auctions with learning: A dynamic revenue equivalence theorem},
  author={Krishnamurthy Iyer and Ramesh Johari and Mukund Sundararajan},
  journal={2011 49th Annual Allerton Conference on Communication, Control, and Computing (Allerton)},
  year={2011},
  pages={1002-1003}
}
We study learning in a dynamic setting where identical copies of a good are sold over time through a sequence of second price auctions. Each agent in the market has an unknown independent private valuation which determines the distribution of the reward she obtains from the good; for example, in sponsored search settings, advertisers may initially be unsure of the value of a click. Though the induced dynamic game is complex, we simplify analysis of the market using an approximation methodology… CONTINUE READING
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