A Cornered Rat

Walkthrough
Since Diplomatic Immunity did not yield the expected information about the appearance of the dragons, namely the Thalmor had nothing to do with it, there was only one lead left. Locate an old Blade named Esbern, an expert on dragons.

Note: Should the Dragonborn have saved Etienne Rarnis from the Thalmor Embassy dungeon, he will be at the Cistern (provided the Thieves' Guild quests have been completed).

Search the Ratway for Esbern's hideout
Visit the Ragged Flagon in Riften and talk to the innkeeper Vekel the Man. Vekel is aware of a man, a nameless recluse living in the Ratway Warrens who rarely leaves his room and has food brought regularly. Apparently dangerous elves have also been asking for him.

Find Esbern in the Ratway Warrens
So the Dragonborn enters the Ratway Vaults only to be assaulted by a Thalmor Wizard and two Soldiers. Passing through the maze of paths, a door finally leads to the Ratway Warrens. There, behind a heavily fortified door, Esbern can be found.

Speak to him about Delphine having sent you (there are other dialogue options) and he will open the door.

Talk to Esbern
Esbern is surprised that Delphine is still alive. Only when confirming that the Dragonborn exists, standing before Esbern in fact, does he have any hope of coping with the long prophesied appearance of the dragons, and the small hope to actually avert the "End of the World".

Note: Esbern's room contains quite a few rare and interesting books.

Esbern thinks it would be best to return to Delphine, giving himself some time think about what next to do in Alduin's Wall.

Eine Ratte in der Klemme