Related papers: Lipschitz Bernoulli utility functions

In random expected utility (Gul and Pesendorfer, 2006), the distribution of preferences is uniquely recoverable from random choice. This paper shows through two examples that such uniqueness fails in general if risk preferences are random…

Bernstein polynomials provide a constructive proof for the Weierstrass approximation theorem, which states that every continuous function on a closed bounded interval can be uniformly approximated by polynomials with arbitrary accuracy.…

In this paper we investigate the approximation of continuous functions on the Wasserstein space by smooth functions, with smoothness meant in the sense of Lions differentiability. In particular, in the case of a Lipschitz function we are…

We set up a descriptive set-theoretic framework to study Lipschitz-free spaces and use the reduction argument of Bossard to prove several results. We prove two universality results: if a separable Banach space is isomorphically universal…

The isometric universality of the spaces $C(K)$ for $K$ a non scattered Hausdorff compact does not take into account the ``quality'' of the representation. Indeed, the existence of an isometric copy of a separable Banach space $X$ into…

We study the geometrical properties of the utility space (the space of expected utilities over a finite set of options), which is commonly used to model the preferences of an agent in a situation of uncertainty. We focus on the case where…

We derive two upper bounds for the probability of deviation of a vector-valued Lipschitz function of a collection of random variables from its expected value. The resulting upper bounds can be tighter than bounds obtained by a direct…

To minimize or upper-bound the value of a function "robustly", we might instead minimize or upper-bound the "epsilon-robust regularization", defined as the map from a point to the maximum value of the function within an epsilon-radius. This…

This paper introduces a space of variable lotteries and proves a constructive version of the expected utility theorem. The word ``constructive'' is used here in two senses. First, as in constructive mathematics, the logic underlying proofs…

A recent line of work, starting with Beigman and Vohra (2006) and Zadimoghaddam and Roth (2012), has addressed the problem of {\em learning} a utility function from revealed preference data. The goal here is to make use of past data…

Newtonian spaces generalize first-order Sobolev spaces to abstract metric measure spaces. In this paper, we study regularity of Newtonian functions based on quasi-Banach function lattices. Their (weak) quasi-continuity is established,…

For a measure space $\Omega$ we extend the theory of Orlicz spaces generated by an even convex integrand $\varphi \colon \Omega \times X \to \left[ 0, \infty \right]$ to the case when the range Banach space $X$ is arbitrary. Besides…

We study the optimal value function for control problems on Banach spaces that involve both continuous and discrete control decisions. For problems involving semilinear dynamics subject to mixed control inequality constraints, one can show…

While the theory of matrix-weighted function spaces is well established, the majority of previous results in the infinite-dimensional operator-valued setting deal with "no go" theorems, showing the impossibility of some prospective…

Probability functions appear in constraints of many optimization problems in practice and have become quite popular. Understanding their first-order properties has proven useful, not only theoretically but also in implementable algorithms,…

Given a Banach lattice $L,$ the space of lattice Lipschitz operators on $L$ has been introduced as a natural Lipschitz generalization of the linear notions of diagonal operator and multiplication operator on Banach function lattices. It is…

We obtain an upper bound on the expected supremum of a Bernoulli process indexed by the image of an index set under a uniformly Lipschitz function class in terms of properties of the index set and the function class, extending an earlier…

We present a way to turn an arbitrary (unbounded) metric space $\mathcal{M}$ into a bounded metric space $\mathcal{B}$ in such a way that the corresponding Lipschitz-free spaces $\mathcal{F}(\mathcal{M})$ and $\mathcal{F}(\mathcal{B})$ are…

We generalize some fundamental results for noncompact Riemannian manfolds without boundary, that only require completeness and no curvature assumptions, to manifolds with boundary: let $M$ be a smooth Riemannian manifold with boundary…

We introduce a linear space of finitely additive measures to treat the problem of optimal expected utility from consumption under a stochastic clock and an unbounded random endowment process. In this way we establish existence and…