We study Markov decision problems where the agent does not know the transition probability function mapping current states and actions to future states. The agent has a prior belief over a set of possible transition functions and updates beliefs using Bayes' rule. We allow her to be misspecified...

I introduce a new framework to study environments with both structural and strategic uncertainty, different from Harsanyi's (1967-8) `Bayesian games', that allows a researcher to test the robustness of Nash predictions while maintaining certain desirable restrictions on players' beliefs. The...