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Incentive Compatibility and Differentiability New Results and Classic Applications

By George J. Mailath and Ernst-Ludwig von Thadden


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

Topics: Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems, C9 - Stabilität, Wettbewerb und Liquidität in Finanzmärkten, ddc:330
Year: 2013
DOI identifier: 10.5282/ubm/epub.17413
OAI identifier:
Provided by: Open Access LMU

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