Bayesian information topologies
A state of the world \(\omega\) is drawn to some known prior distribution, \(\mu\). Agents receive their information about \(\omega\) and form their posterior distributions, \(P_{\omega}\), by conditioning on the sub- \(\sigma\)-fields that represent their information. The mapping \(\omega \mapsto P_{\omega}\) contains all of the economically relevant aspects of an agent's information. `Bayesian' topologies on these mappings are defined by saying that information structures are close if there is only small probability that the posterior distributions are far apart. This approach leads to a characterization of the relation between partition representations of information and \(\sigma\)-field representations of information.
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- Martingales and Stochastic Integrals
- Similarity of information and behavior with a pointwise convergence topology
- Stopping Time Techniques for Analysts and Probabilists
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- Information and \(\sigma\)-algebras
- Bayesian or Laplacien inference, entropy and information theory and information geometry in data and signal processing
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- Blackwell spaces and -approximations of Markov chains
- Updating by maximizing expected accuracy in infinite non-partitional settings
- On redundant types and Bayesian formulation of incomplete information
- Similarity of differential information with subjective prior beliefs
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