Incentive Compatibility and Differentiability: New Results and Classic Applications

This note provides several generalizations of Mailath's (1987) result that incentive compatibility plus separation implies differentiability. The new results extend the theory to classic models in finance such as Leland and Pyle (1977), Glosten (1989), and De Marzo and Duffie (1999), that were not previously covered.

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Year of publication:	2010-10-02
Authors:	Mailath, George J. ; Thadden, Ernst-Ludwig von
Institutions:	Department of Economics, University of Pennsylvania
Subject:	Adverse selection \| separation \| differentiable strategies \| incentive-compatibility

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Extent:	application/pdf
Series:	PIER Working Paper Archive.
Type of publication:	Book / Working Paper
Notes:	28 pages
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/10008672484