Characterization of time-consistent sets of measures in finite trees

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.

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Year of publication:	2010
Authors:	Bier, Monika
Publisher:	Universität Bielefeld
Subject:	Multiple priors \| Ambiguity \| Time consistency \| Uncertainty aversion

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Type of publication:	Other
Language:	English
Source:	BASE

Persistent link: https://www.econbiz.de/10009452573