Incentive compatibility and differentiability: New results and classic applications
AbstractWe provide several generalizations of Mailathʼs (1987)  result that in games of asymmetric information with a continuum of types incentive compatibility plus separation implies differentiability of the informed agentʼs 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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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Theory.
Volume (Year): 148 (2013)
Issue (Month): 5 ()
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Web page: http://www.elsevier.com/locate/inca/622869
Adverse selection; Separation; Differentiable strategies; Incentive-compatibility;
Other versions of this item:
- Mailath, George J. & Thadden, Ernst-Ludwig von, 2013. "Incentive Compatibility and Differentiability New Results and Classic Applications," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 447, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
- George J. Mailath & Ernst-Ludwig von Thadden, 2010. "Incentive Compatibility and Differentiability: New Results and Classic Applications," PIER Working Paper Archive 10-032, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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