کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
956978 928502 2011 29 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Robustness and ambiguity in continuous time
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Robustness and ambiguity in continuous time
چکیده انگلیسی

We use statistical detection theory in a continuous-time environment to provide a new perspective on calibrating a concern about robustness or an aversion to ambiguity. A decision maker repeatedly confronts uncertainty about state transition dynamics and a prior distribution over unobserved states or parameters. Two continuous-time formulations are counterparts of two discrete-time recursive specifications of Hansen and Sargent (2007) [16]. One formulation shares features of the smooth ambiguity model of Klibanoff et al. (2005) and (2009) [24] and [25]. Here our statistical detection calculations guide how to adjust contributions to entropy coming from hidden states as we take a continuous-time limit.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Theory - Volume 146, Issue 3, May 2011, Pages 1195–1223
نویسندگان
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