On stochastic independence under ambiguity

Federica Ceron () and Vassili Vergopoulos ()
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Federica Ceron: GATE Lyon Saint-Étienne - Groupe d'Analyse et de Théorie Economique Lyon - Saint-Etienne - ENS de Lyon - École normale supérieure de Lyon - Université de Lyon - UL2 - Université Lumière - Lyon 2 - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon - UJM - Université Jean Monnet - Saint-Étienne - CNRS - Centre National de la Recherche Scientifique
Vassili Vergopoulos: LEMMA - Laboratoire d'économie mathématique et de microéconomie appliquée - Université Paris-Panthéon-Assas

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Abstract: We provide behavioral characterizations of notions of stochastic independence between two sources of uncertainty for agents with ambiguity-sensitive preferences. These notions, inspired from the literature on imprecise probabilities, include the independent product of two sets of marginal beliefs proposed by Gilboa and Schmeidler (J Math Econ 18(2): 141–153, 1989) in their seminal paper. Our analysis draws a clear relationship between the property of dynamic consistency of preferences and some form of stochastic independence between the relevant events.

Keywords: Stochastic independence; Ambiguity; MaxMin expected utility; Bewley expected utility; Imprecise probability (search for similar items in EconPapers)
Date: 2020
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Published in Economic Theory, 2020, 71 (3), pp.925 - 960. ⟨10.1007/s00199-020-01267-z⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-04072488

DOI: 10.1007/s00199-020-01267-z

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