Related papers: Discounted Subjective Expected Utility in Continuo…

Mutually exclusive decisions have been studied for decades. Many well-known decision theories have been defined to help people either to make rational decisions or to interpret people's behaviors, such as expected utility theory, regret…

We extend well-known comparative results under expected utility to models of non-expected utility by providing novel conditions on local utility functions. We illustrate how our results parallel, and are distinct from, existing results for…

It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion based on acceptable shortfall risks.…

We study information elicitation in cost-function-based combinatorial prediction markets when the market maker's utility for information decreases over time. In the sudden revelation setting, it is known that some piece of information will…

We characterize decreasing impatience, a common behavioral phenomenon in intertemporal choice. Discount factors that display decreasing impatience are characterized through a convexit y axiom for investments at fixed interest rates. Then we…

Given the discrete-time sequence of nonnegative random variables, general dependencies between the exponential convergence of the expectations, exponential convergence of the trajectories and the logarithmic growth of the corresponding…

We study a continuous time economy where agents have asymmetric information. The informed agent (``$I$''), at time zero, receives a private signal about the risky assets' terminal payoff $\Psi(X_T)$, while the uninformed agent (``$U$'') has…

Much of uncertainty quantification to date has focused on determining the effect of variables modeled probabilistically, and with a known distribution, on some physical or engineering system. We develop methods to obtain information on the…

In a consideration set model, an individual maximizes utility among the considered alternatives. I relate a consideration set additive random utility model to classic discrete choice and the extended additive random utility model, in which…

Expected Utility: Algebraic Expected Utility In this paper, we provide two axiomatizations of algebraic expected utility, which is a particular generalized expected utility, in a von Neumann-Morgenstern setting, i.e. uncertainty…

Time-to-event forecasts are essential when decisions depend on event timing. This article develops a framework for evaluating such forecasts when the event has not yet occurred or is not predicted within the forecast horizon. We introduce a…

An agent choosing between various actions tends to take the one with the lowest cost. But this choice is arguably too rigid (not adaptive) to be useful in complex situations, e.g., where exploration-exploitation trade-off is relevant in…

The execution time of programs is a key element in many areas of computer science, mainly those where achieving good performance (e.g., scheduling in cloud computing) or a predictable one (e.g., meeting deadlines in embedded systems) is the…

In this paper, we consider the revealed preferences problem from a learning perspective. Every day, a price vector and a budget is drawn from an unknown distribution, and a rational agent buys his most preferred bundle according to some…

This paper empirically analyzes how individual characteristics are associated with risk aversion, loss aversion, time discounting, and present bias. To this end, we conduct a large-scale demographically representative survey across eight…

Existing mathematical models of delay discounting (e. g. exponential model, hyperbolic model, and those derived from nonextensive statistics) consider impulsivity as a single entity. However, the present article derives a novel mathematical…

Emphatic algorithms are temporal-difference learning algorithms that change their effective state distribution by selectively emphasizing and de-emphasizing their updates on different time steps. Recent works by Sutton, Mahmood and White…

The deep connection between entropy and information is discussed in terms of both classical and quantum physics. The mechanism of information transfer between systems via entanglement is explored in the context of decoherence theory. The…

A distinction is sometimes made between "statistical" and "subjective" probabilities. This is based on a distinction between "unique" events and "repeatable" events. We argue that this distinction is untenable, since all events are "unique"…

In this article we demonstrate how algorithmic probability theory is applied to situations that involve uncertainty. When people are unsure of their model of reality, then the outcome they observe will cause them to update their beliefs. We…