When to sell an indivisible object: Optimal timing with Markovian buyers

Abstract

We study the problem of when to sell an indivisible object. There is a monopolistic seller who owns an indivisible object and plans to sell it over a given span of time to the set of potential buyers whose valuations for the object evolve over time. We formulate the seller's problem as a dynamic mechanism design problem. We provide a procedure for finding the optimal solution and show how to check incentive compatibility. We also discuss the threshold rule from the perspective of optimal stopping.