Ambiguity in dynamic contexts.

Summary This thesis deals with the consequences of ambiguity aversion in dynamic contexts in economics. In particular, it focuses on the consequences of ambiguity aversion in irreversible investment decisions, as well as in a dynamic moral hazard problem, modeled in continuous time. The first chapter provides a review of the literature on ambiguity aversion in a dynamic context. We review the existing models and their applications in economics and finance. The second chapter focuses on the irreversible investment decisions of a monopoly and of firms in perfect competition, in the presence of ambiguity about the volatility of the stochastic process governing demand. This particular notion of ambiguity requires the use of recent tools from the theory of nonlinear expectations. We show that in the presence of ambiguity aversion, the optimal strategy of a monopoly implies investing faster than in a perfectly competitive market. The third chapter builds on the results of the second chapter to treat the case of imperfect competition between two firms. The fourth chapter deals with a dynamic moral hazard problem in continuous time and introduces the more classical notion of ambiguity about the drift of the process governing uncertainty. We show that under certain restrictions similar to the standard case, the optimal contract is linear with respect to the final output. This result then allows us to discuss the effect of ambiguity aversion on incentives and the use of information.