Robustness and ambiguity in continuous time

DOI10.1016/J.JET.2011.01.004MaRDI QIDQ548261zbMATH OpenOpenAlexFDO

Authors Thomas J. Sargent, Lars Peter Hansen

Publication date 28 June 2011

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

Full work available at URL https://doi.org/10.1016/j.jet.2011.01.004

zbMATH Keywords

entropyhidden Markov modelrobustnessambiguitylikelihood functionsmooth ambiguitystatistical detection error

Mathematics Subject Classification ID

Decision theory (91B06) Statistical methods; economic indices and measures (91B82) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

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• Doubts or variability?
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• Maxmin expected utility with non-unique prior
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• Robustness
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• Uncertainty averse preferences

Cited in

(17)

• On aperiodicity robustness
• Introduction to incompleteness and uncertainty in economics
• Generalized light robustness and the trade-off between robustness and nominal quality
• Uncertain dynamics, correlation effects, and robust investment decisions
• Asset pricing under smooth ambiguity in continuous time
• On continuity/discontinuity in robustness indicators
• Robust experimentation in the continuous time bandit problem
• Adaptive robust control in continuous time
• Robust utility maximization under model uncertainty via a penalization approach
• Optimal learning under robustness and time-consistency
• A numerical method for hedging Bermudan options under model uncertainty
• Robust consumption and portfolio policies when asset prices can jump
• Algorithmic trading with model uncertainty
• Robust control in green production management
• Ambiguity, information processing, and financial intermediation
• Introduction to the special issue in honor of Larry Epstein
• The myopic property in decision models

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