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Three Types of Ambiguity

In: UNCERTAINTY WITHIN ECONOMIC MODELS

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  • Lars Peter Hansen
  • Thomas J Sargent

Abstract

Rational expectations models attribute a unique probability model to diverse agents. Gilboa and Schmeidler (1989) express a single person’s ambiguity with a set of probability models. A coherent multi-agent setting with ambiguity must impute possibly distinct sets of models to different agents, and also specify each agent's understanding of the sets of models of other agents. This chapter studies three ways of doing this for a Ramsey planner…

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  • Lars Peter Hansen & Thomas J Sargent, 2014. "Three Types of Ambiguity," World Scientific Book Chapters, in: UNCERTAINTY WITHIN ECONOMIC MODELS, chapter 11, pages 379-430, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814578127_0011
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    14. Lars Peter Hansen & Thomas J Sargent, 2014. "A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection," World Scientific Book Chapters, in: UNCERTAINTY WITHIN ECONOMIC MODELS, chapter 4, pages 83-143, World Scientific Publishing Co. Pte. Ltd..
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