Article | REF: AF1502 V1

Decision Theory

Author: Elyès JOUINI

Publication date: October 10, 2017 | Lire en français

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    5. Dynamic models

    5.1 Information structures and filtering

    Let's now consider a situation in which the decision-maker has to choose an action a whose consequences are uncertain and spread over time. To model this situation, we introduce Ω the space of states of the world and T the space of possible dates. Typically, T can be finite with T={0,

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