Journal ArticleDOI
Sequential decisions under uncertainty and the maximum theorem
Reads0
Chats0
TLDR
In this paper, the authors define a topology on the space of measures of state variables which ensures the applicability of Berge's maximum theorem to the decision-maker's optimal behavior.About:
This article is published in Journal of Mathematical Economics.The article was published on 1996-01-01. It has received 42 citations till now. The article focuses on the topics: Maximum theorem & Optimal decision.read more
Citations
More filters
Journal ArticleDOI
Convergence of Probability Measures
TL;DR: Convergence of Probability Measures as mentioned in this paper is a well-known convergence of probability measures. But it does not consider the relationship between probability measures and the probability distribution of probabilities.
Posted Content
Discrete-Time Approximations of the Holmström-Milgrom Brownian-Motion Model of Intertemporal Incentive Provision
Martin Hellwig,Klaus M. Schmidt +1 more
TL;DR: In this article, the authors studied the relation between multi-period discrete-time and continuous-time principal-agent models and showed that the optimal incentive scheme in the continuous model can be approximated by a sequence of optimal incentive schemes in the discrete model.
Journal ArticleDOI
Discrete-time approximations of the Holmström-Milgrom brownian-motion model of intertemporal incentive provision
Martin Hellwig,Klaus M. Schmidt +1 more
TL;DR: In this article, the authors studied the relation between discrete-time and continuous-time principal-agent models and showed that the continuous model is a limit of the discrete model with ever shorter periods.
Posted Content
Adapted Wasserstein Distances and Stability in Mathematical Finance
TL;DR: In this paper, a suitable adapted version of the Wasserstein distance is proposed, which takes the temporal structure of pricing models into account, which allows to establish Lipschitz properties of hedging strategies for semimartingale models in discrete and continuous time.
Journal ArticleDOI
Adapted Wasserstein distances and stability in mathematical finance
TL;DR: In this article, a suitable adapted version of the Wasserstein distance which takes the temporal structure of pricing models into account is proposed, which allows to establish Lipschitz properties of hedging strategies for semimartingale models in discrete and continuous time.
References
More filters
Book
Convergence of Probability Measures
TL;DR: Weak Convergence in Metric Spaces as discussed by the authors is one of the most common modes of convergence in metric spaces, and it can be seen as a form of weak convergence in metric space.
Journal ArticleDOI
Convergence of Probability Measures
TL;DR: Convergence of Probability Measures as mentioned in this paper is a well-known convergence of probability measures. But it does not consider the relationship between probability measures and the probability distribution of probabilities.
Book
Probability measures on metric spaces
TL;DR: The Borel subsets of a metric space Probability measures in the metric space and probability measures in a metric group Probability measure in locally compact abelian groups The Kolmogorov consistency theorem and conditional probability probabilistic probability measures on $C[0, 1]$ and $D[0-1]$ Bibliographical notes Bibliography List of symbols Author index Subject index as mentioned in this paper