We consider the problem of a bidder with limited budget competing in a series of second-price auctions. A motivating example is that of sponsored search auctions, where

advertisers bid in a sequence of repeated generalized second price auctions. To characterize the optimal bidding strategy, we formulate the problem as a discounted Markov Decision Process, and provide explicit solutions when the bidder is involved in a

large number of auctions.

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In  Forty-Ninth Annual Allerton Conference on Communication, Control, and Computing

Publisher  IEEE

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