Incentive compatibility and differentiability: New results and classic applications

George Mailath and Ernst-Ludwig von Thadden

Journal of Economic Theory, 2013, vol. 148, issue 5, 1841-1861

Abstract: We provide several generalizations of Mailathʼs (1987) [9] 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) [8], Glosten (1989) [4], and DeMarzo and Duffie (1999) [3], that were not previously covered.

Keywords: Adverse selection; Separation; Differentiable strategies; Incentive-compatibility (search for similar items in EconPapers)
JEL-codes: C60 C73 D82 D83 G14 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (9)

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Related works:
Working Paper: Incentive Compatibility and Differentiability New Results and Classic Applications (2013)
Working Paper: Incentive Compatibility and Differentiability: New Results and Classic Applications (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jetheo:v:148:y:2013:i:5:p:1841-1861

DOI: 10.1016/j.jet.2013.07.004

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