May 1, 2001

Robust Control and Model Uncertainty

LHLars Peter HansenNational Bureau of Economic Research TSThomas J. SargentBuffalo State University

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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).

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Hansen et al. (Tue,) studied this question.

synapsesocial.com/papers/69da2ac9387cf706986866cf https://doi.org/https://doi.org/10.1257/aer.91.2.60

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1A Weak Convergence Approach to the Theory of Large Deviations1998 · 813 citations
2Maxmin expected utility with non-unique prior1989 · 4,172 citations
3Optimization by Vector Space Methods1970 · 6,143 citations
4Robust Properties of Risk-Sensitive Control2000 · 97 citations
5Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework1989 · 4,498 citations

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