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Robust Control and Model Uncertainty

Author

Listed:
  • Thomas J. Sargent
  • LarsPeter Hansen
Abstract
The following sections are included:IntroductionA Benchmark Resource Allocation ProblemModel MisspecificationTwo Robust Control ProblemsRecursivity of the Multiplier FormulationTwo Preference OrderingsRecursivity of the Preference OrderingsConcluding Remarks
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Thomas J. Sargent & LarsPeter Hansen, 2001. "Robust Control and Model Uncertainty," American Economic Review, American Economic Association, vol. 91(2), pages 60-66, May.
    • Handle: RePEc:aea:aecrev:v:91:y:2001:i:2:p:60-66
    Note: DOI: 10.1257/aer.91.2.60
    as

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    File URL: http://www.aeaweb.org/articles.php?doi=10.1257/aer.91.2.60
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    References listed on IDEAS

    as
    1. Zengjing Chen & Larry Epstein, 2002. "Ambiguity, Risk, and Asset Returns in Continuous Time," Econometrica, Econometric Society, vol. 70(4), pages 1403-1443, July.
    2. Larry G. Epstein & Stanley E. Zin, 2013. "Substitution, risk aversion and the temporal behavior of consumption and asset returns: A theoretical framework," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 12, pages 207-239, World Scientific Publishing Co. Pte. Ltd..
    3. Lars Peter Hansen & Thomas J Sargent, 2014. "Robust Permanent Income and Pricing," World Scientific Book Chapters, in: UNCERTAINTY WITHIN ECONOMIC MODELS, chapter 3, pages 33-81, World Scientific Publishing Co. Pte. Ltd..
    4. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
    5. Duffie, Darrell & Epstein, Larry G, 1992. "Stochastic Differential Utility," Econometrica, Econometric Society, vol. 60(2), pages 353-394, March.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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