Learning and self-confirming long-run biases

• 成果类型: Article
• 署名作者: Battigalli, P.; Francetich, A.; Lanzani, G.; Marinacci, M.
• 署名单位: Bocconi University; Bocconi University; University of Washington; University of Washington Bothell; Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2019.07.009
• 发表日期: 2019
• 页码: 740-785
• 关键词: Learning; stochastic control; ambiguity aversion; self-confirming equilibrium

摘要

We consider an ambiguity averse, sophisticated decision maker facing a recurrent decision problem where information is generated endogenously. In this context, we study self-confirming actions as the outcome of a process of active experimentation. We provide inter alia a learning foundation for self-confirming equilibrium with model uncertainty (Battigalli et al., 2015), and we analyze the impact of changes in ambiguity attitudes on convergence to self-confirming equilibria. We identify conditions under which the set of self confirming equilibrium actions is invariant to changes in ambiguity attitudes, and yet ambiguity aversion may affect the dynamics. Indeed, we argue that ambiguity aversion tends to stifle experimentation, increasing the likelihood that the decision maker gets stuck into suboptimal certainty traps. (C) 2019 Elsevier Inc. All rights reserved.