Recursive robust estimation and control without commitment

DOI10.1016/j.jet.2006.06.010zbMath1256.90047OpenAlexW2118881814WikidataQ59664734 ScholiaQ59664734MaRDI QIDQ2455651

Lars Peter Hansen, Thomas J. Sargent

Publication date: 26 October 2007

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2006.06.010

zbMATH Keywords

decision theoryrobustnessmartingalesrisk sensitivityhidden state Markov chains

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40)

Related Items

Robust utility maximization under model uncertainty via a penalization approach, Existence and uniqueness of recursive utilities without boundedness, Ambiguous partially observable Markov decision processes: structural results and applications, Model uncertainty and energy technology policy: the example of induced technical change, Doubts or variability?, Regime switching optimal growth model with risk sensitive preferences, Robust hidden Markov LQG problems, On the robustness of the Bayes and Wiener estimators under model uncertainty, Robust fixed-lag smoothing under model perturbations, Global robust Bayesian analysis in large models, Doubts about the model and optimal policy, Stochastic optimal growth model with risk sensitive preferences, Optimal fiscal policy with robust control, An M-ary detection approach for asset allocation, Imperfect credibility and robust monetary policy, Robustness and ambiguity in continuous time, Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium, Ambiguity aversion and model misspecification: an economic perspective, Risk-Sensitive Asset Management and Cascading Defaults, Robust Control of Partially Observable Failing Systems, Structured ambiguity and model misspecification, Estimating robustness, Risk-sensitive credit portfolio optimization under partial information and contagion risk, Introduction to the special issue in honor of Larry Epstein, Asset pricing under smooth ambiguity in continuous time, Robust estimation and control under commitment, An HMM approach for optimal investment of an insurer

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The transfer of human capital
• The dynamics of risk-sensitive allocations
• A theory of subjective compound lotteries
• Recursive multiple-priors.
• IID: Independently and indistinguishably distributed.
• Robust control and model misspecification
• Robust estimation and control under commitment
• Fragile beliefs and the price of uncertainty
• Two-Stage Lotteries without the Reduction Axiom
• The Structure of Intertemporal Preferences under Uncertainty and Time Consistent Plans
• Selection and the Evolution of Industry
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Golden Eggs and Hyperbolic Discounting
• Minimax optimal control of stochastic uncertain systems with relative entropy constraints
• Escaping Nash Inflation
• Learning and Model Validation
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Discounted linear exponential quadratic Gaussian control
• Learning and Strategic Pricing
• Robust Permanent Income and Pricing
• A Smooth Model of Decision Making under Ambiguity
• Learning by Doing and the Choice of Technology
• A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations
• \(H^ \infty\)-optimal control and related minimax design problems. A dynamic game approach.