Robust Control and Model Uncertainty

Lars Peter Hansen; Thomas J. Sargent

doi:10.1257/aer.91.2.60

American Economic Review Vol. 91 No. 2 2001

Robust Control and Model Uncertainty

Lars Peter Hansen¹; Thomas J. Sargent²

¹ Department of Economics, University of Chicago, 1126 E. 59th St., Chicago, IL 60637. · ² Hoover Institution and Department of Economics, Stanford University, Stanford, CA 94305.

Abstract

This paper describes links between the max-min expected utility theory of Gilboa and Schmeidler (1989) and the applications of robust control theory proposed by Anderson, Hansen and Sargent (2000) and Dupuis, James and Petersen (1998).

DOI: 10.1257/aer.91.2.60
Volume: 91
Issue: 2
Pages: 60-66
Language: en
Sources: bibtex:phds-export.bib openalex crossref

Robust Control and Model Uncertainty

Abstract

Cite