Incentive Compatibility and Differentiability New Results and Classic Applications

George Mailath and Ernst-Ludwig von Thadden

Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems from Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich

Abstract: 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.

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: 2013-01-21
New Economics Papers: this item is included in nep-cta and nep-mic
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Citations: View citations in EconPapers (11)

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Related works:
Journal Article: 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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