Article ID: | iaor1999908 |
Country: | United States |
Volume: | 25 |
Issue: | 4 |
Start Page Number: | 443 |
End Page Number: | 464 |
Publication Date: | Oct 1996 |
Journal: | Journal of Mathematical Economics |
Authors: | Hellwig M.F. |
For sequential decision problems in which the decision-maker observes a process of state variables and chooses an adapted process of action variables, the paper defines a topology on the space of measures of processes of state variables which ensures the applicability of Berge's maximum theorem to the decision-maker's optimal behavior. The topology controls for the information available to the decision-maker at each decision date. The paper also discusses the implications of the analysis for the dynamic-programming approach to sequential decision-making under uncertainty, and for equilibrium existence proof strategies in sequential-market models and games.