博弈论讲义Auctions.pdf

Lecture XVI: Auctions Markus M. M¨obius April 20, 2006 • Osborne, chapter 9 • Gibbons, chapter 3 • Paul Klemperer’s website at / has fan- tastic online material on auctions and related topics. I particularly rec- ommend his beautiful online book “Auctions: Theory and Practice” for a supremely readable and non-technical discussion of auctions and the survey chapter “A Survey of Auction Theory” for a concise overview of the main theory. 1 Introduction We already introduced a private-value auction with two bidders last time as an example for a game of imperfect information. In this lecture we expand this definition a little bit. In all our auctions there are n participants and each participant has a valuation vi and submits a bid bi (his action). The rules of the auction determine the probability q (b , .., b ) that agent i i 1 n wins the auction and the expected price p (b , .., b ) which he pays. His utility i 1 n a is simple u = q v − p . i i i i aThe agent is always assumed to be risk-neutral and just maximize his expected profit - new issues arise if the bidders are risk-averse. 1 There are two important dimensions to classify auctions which are based on this template: 1. How are values vi drawn? In the private value environment each bidder has a private value vi for the item to be auctioned off. In the important independent private value case the types are drawn independently from some distribution Fi for each playe