Robust estimation and control under commitment

DOI10.1016/j.jet.2005.06.006zbMath1116.91012OpenAlexW2148668590MaRDI QIDQ2577526

Lars Peter Hansen, Thomas J. Sargent

Publication date: 22 December 2005

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

Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.408.1983

zbMATH Keywords

entropyrobustnesslearningmodel uncertaintytime inconsistencycommitmentrisk-sensitivityBayes' law

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Statistical aspects of information-theoretic topics (62B10) General considerations in statistical decision theory (62C05)

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Uses Software

• BayesDA

Cites Work

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