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I study a class of optimisation problems in finite-dimensional Euclidean spaces for which the value function is almost everywhere differentiable even when objective function is discontinuous. I call this class of problems positioning choice problem as it has a straightforward geometrical interpretation as a choice of position. I collect observations about this class of problems as a collection of "Ad-Hoc" envelope theorems for discontinuous objective functions. I apply the findings to the theory of moral hazard / mechanism design. In particular, I study models of fraud in the design of securities and insurance.
Positioning choice problems and their applications to the theory of moral hazard
LAUZIER, JEAN-GABRIEL
2021
Abstract
I study a class of optimisation problems in finite-dimensional Euclidean spaces for which the value function is almost everywhere differentiable even when objective function is discontinuous. I call this class of problems positioning choice problem as it has a straightforward geometrical interpretation as a choice of position. I collect observations about this class of problems as a collection of "Ad-Hoc" envelope theorems for discontinuous objective functions. I apply the findings to the theory of moral hazard / mechanism design. In particular, I study models of fraud in the design of securities and insurance.File | Dimensione | Formato | |
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Revised LAUZIER JG thesis.pdf
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Descrizione: Revised Lauzier thesis
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