Discounted Subjective Expected Utility in Continuous Time
Theoretical Economics
2024-03-25 v1
Abstract
By embedding uncertainty into time, we obtain a conjoint axiomatic characterization of both Exponential Discounting and Subjective Expected Utility that accommodates arbitrary state and outcome spaces. In doing so, we provide a novel and simple time-interpretation of subjective probability. The subjective probability of an event is calibrated using time discounting.
Cite
@article{arxiv.2403.15319,
title = {Discounted Subjective Expected Utility in Continuous Time},
author = {Lorenzo Bastianello and Vassili Vergopoulos},
journal= {arXiv preprint arXiv:2403.15319},
year = {2024}
}