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
Authors:	Mailath, George J. ; von Thadden, Ernst-Ludwig
Publisher:	München : Sonderforschungsbereich/Transregio 15 - Governance and the Efficiency of Economic Systems (GESY)
Subject:	Adverse selection \| separation \| differentiable strategies \| incentive compatibility

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Series:	SFB/TR 15 Discussion Paper ; 447
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	10.5282/ubm/epub.17413 [DOI] 771334249 [GVK] hdl:10419/94104 [Handle] RePEc:trf:wpaper:447 [RePEc]
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:	EconStor

Persistent link: https://www.econbiz.de/10010334081