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Information, measurability and continuous behavior

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The stability of optimal plans with respect to information is studied given the representation of information as sub-s-fields of a probability space. A decision maker is constrained to choose a plan measurable with respect to her information. Continuity is derived by characterizing the continuity of the measurability constraint correspondence and then applying a generalized maximum theorem. This approach can be simpler and require fewer assumptions than an approach based on continuity of conditional expectations.

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en

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application/pdf

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http://flora.insead.edu/fichiersti_wp/inseadwp2000/2000-49.pdf

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Copyright INSEAD. All rights reserved