Incentive Compatibility and Differentiability New Results and Classic Applications

We provide several generalizations of Mailath's (1987) result that in games of asymmetric information with a continuum of types incentive compatibility plus separation implies differentiability of the informed agent's strategy. The new results extend the theory to classic models in finance such as Leland and Pyle (1977), Glosten (1989), and DeMarzo and Duffie (1999), that were not previously covered.

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Year of publication:	2013-01-21
Authors:	Mailath, George J. ; Thadden, Ernst-Ludwig von
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Adverse selection \| separation \| differentiable strategies \| incentive compatibility

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Extent:	application/pdf
Series:	Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems.
Type of publication:	Book / Working Paper
Classification:	C60 - Mathematical Methods and Programming. General ; C73 - Stochastic and Dynamic Games ; D82 - Asymmetric and Private Information ; D83 - Search, Learning, Information and Knowledge ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010737648