Robustness and ambiguity in continuous time

• 成果类型: Article
• 署名作者: Hansen, Lars Peter; Sargent, Thomas J.
• 署名单位: New York University; University of Chicago; National Bureau of Economic Research
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2011.01.004
• 发表日期: 2011
• 页码: 1195-1223
• 关键词: Ambiguity; Robustness; Hidden Markov model; Likelihood function; entropy; Statistical detection error; Smooth ambiguity

摘要

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) [24,25]. Here our statistical detection calculations guide how to adjust contributions to entropy coming from hidden states as we take a continuous-time limit. (C) 2011 Elsevier Inc. All rights reserved.