Miao, Jianjun; Wang, Neng - In: Journal of Economic Dynamics and Control 35 (2011) 4, pp. 442-461
Many economic decisions can be described as an option exercise or optimal stopping problem under uncertainty. Motivated by experimental evidence such as the Ellsberg Paradox, we follow Knight (1921) and distinguish risk from uncertainty. To capture this distinction, we adopt the multiple-priors...