Efficient Dynamic Mechanism Design without a Common Prior

We study efficient dynamic mechanism design with independent private values when agents do not share a common prior over the stochastic environment. Each agent privately observes the stochastic kernel governing the evolution of her own type and may hold arbitrary beliefs about the kernels of others. We extend the agents’ type space to include the kernel itself and show that the dynamic team mechanism of Athey and Segal (2013) and the dynamic pivot mechanism of Bergemann and Välimäki (2010) implement the socially efficient allocation in periodic ex-post equilibrium. We further show that kernels can be elicited only once, at the outset, and that the same mechanisms induce the efficient private acquisition of the stochastic kernels.