Incentive compatibility and differentiability: New results and classic applications

• 成果类型: Article
• 署名作者: Mailath, George J.; von Thadden, Ernst-Ludwig
• 署名单位: University of Pennsylvania; University of Mannheim
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2013.07.004
• 发表日期: 2013
• 页码: 1841-1861
• 关键词: Adverse selection; SEPARATION; Differentiable strategies; Incentive-compatibility

摘要

We provide several generalizations of Mailath's (1987) [9] 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) [8], Glosten (1989) [4], and DeMarzo and Duffie (1999) [3], that were not previously covered. (C) 2013 Elsevier Inc. All rights reserved.