Related papers: A Note on the Continuity of Expected Utility Funct…

We study preferences estimated from finite choice experiments and provide sufficient conditions for convergence to a unique underlying "true" preference. Our conditions are weak, and therefore valid in a wide range of economic environments.…

We study stability properties of the expected utility function in Bayesian optimal experimental design. We provide a framework for this problem in a non-parametric setting and prove a convergence rate of the expected utility with respect to…

We obtain a full characterization of consistency with respect to higher-order stochastic dominance within the rank-dependent utility model. Different from the results in the literature, we do not assume any condition on the utility…

Recent literature in the last Maximum Entropy workshop introduced an analogy between cumulative probability distributions and normalized utility functions. Based on this analogy, a utility density function can de defined as the derivative…

We give a geometric condition on a compact subset of a complex manifold which is necessary and sufficient for the existence of a smooth strictly plurisubharmonic function defined in a neighbourhood of this set.

The presence of second-order smoothness for objective functions of optimization problems can provide valuable information about their stability properties and help us design efficient numerical algorithms for solving these problems. Such…

In this paper we study a subclass of subcartesian space-the orbit space of a proper action of Lie group on smooth manifold. We show that continuous functions on orbit space can be approximated by smooth functions.

We consider coherent sublinear expectations on a measurable space, without assuming the existence of a dominating probability measure. By considering a decomposition of the space in terms of the supports of the measures representing our…

We introduce a new interpretation of two related notions - conditional utility and utility independence. Unlike the traditional interpretation, the new interpretation renders the notions the direct analogues of their probabilistic…

We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected…

We study the stochastic versions of a broad class of combinatorial problems where the weights of the elements in the input dataset are uncertain. The class of problems that we study includes shortest paths, minimum weight spanning trees,…

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…

The notion of a regular operator with compact supports between function spaces is introduced. On that base we obtain a characterization of absolute extensors for zero-dimensional spaces in terms of regular extension operators having compact…

In this paper, we provide analytic expressions for the first-order loss function, the complementary loss function and the second-order loss function for several probability distributions. These loss functions are important functions in…

This paper presents a wp-style calculus for obtaining expectations on the outcomes of (mutually) recursive probabilistic programs. We provide several proof rules to derive one-- and two--sided bounds for such expectations, and show the…

We study continuous, symmetric and unanimous aggregation functions and continuous majority functions and prove that such functions exist on a choice space if and only if the choice space is contractible.

Monotonicity with respect to all arguments is fundamental to the definition of aggregation functions. It is also a limiting property that results in many important non-monotonic averaging functions being excluded from the theoretical…

We present a weakest-precondition-style calculus for reasoning about the expected values (pre-expectations) of \emph{mixed-sign unbounded} random variables after execution of a probabilistic program. The semantics of a while-loop is…

We prove that an iterated function system of similarities on $\mathbb{R}$ that satisfies the weak separation condition and has an interval as its self-similar set satisfies the stronger generalized finite type condition. It is unknown if…

In this short article we present some properties regarding the order and the type of an entire function.