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Characterization of time-consistent sets of measures in finite trees

Author

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  • Bier, Monika

    (Center for Mathematical Economics, Bielefeld University)

Abstract

In this paper we give an alternative characterization for time-consistent sets of measures in a discrete setting. For each measure \mathbb{P} in a time-consistent set \mathcal{P} we get a distinct set of predictable processes which in return decribe the \mathbb{P} uniquely. This implies we get a one-to-one correspondence between time-consistent sets of measures and sets of predictable processes with specific features.

Suggested Citation

  • Bier, Monika, 2011. "Characterization of time-consistent sets of measures in finite trees," Center for Mathematical Economics Working Papers 434, Center for Mathematical Economics, Bielefeld University.
    • Handle: RePEc:bie:wpaper:434
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    File URL: https://pub.uni-bielefeld.de/download/2316474/2319878
    File Function: First Version, 2010
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    Keywords

    Uncertainty aversion; Time consistency; Ambiguity; Multiple priors;
    All these keywords.

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