Recursive Multiple-Priors

Larry Epstein and Martin Schneider

No 485, RCER Working Papers from University of Rochester - Center for Economic Research (RCER)

Abstract: This paper axiomatizes an intertemporal version of multiple-ptiors utility. A central axiom is dynamic consistency, which leads to a recursive structure for utility, to 'rectangular' sets of priors and to prior-by-prior Bayesian updating as the updating rule for such sets of priors. It is argued that dynamic consitency is intuitive in a wide range of situations and that the model is consistent with a rich set of possibilities for dynamic behavior under ambiguity.

Keywords: ambiguity; updating; recursive utility; dynamic consistency; multiple-priors; Bayesian updating; robust decision-making; model uncertainty (search for similar items in EconPapers)
JEL-codes: D80 D81 D90 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2001-08
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Citations: View citations in EconPapers (40)

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Journal Article: Recursive multiple-priors (2003)
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