A repeated-choice foundation for stochastic choice

Jay Lu () and Kota Saito ()
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Jay Lu: Department of Economics, University of California, Los Angeles
Kota Saito: Division of the Humanities and Social Sciences, California Institute of Technology

Theoretical Economics, Forthcoming

Abstract: We characterize when an agent’s observed stochastic choice can be represented as a limit frequency of optimal choices over time. In our model, an agent repeatedly chooses among risky prospects aware that future preferences will evolve according to a subjective ergodic utility process. We show that the parameters of the model can be uniquely identified and provide a complete characterization. As part of our axiomatization, we extend the representation theorems of Gul and Pesendorfer (2006) and Dekel et al. (2001, 2007) to an infinite-dimensional space with countably-additive probability measures. This is accomplished through a unified methodology based on Lipschitz continuous utilities.

Keywords: Stochastic choice; intertemporal preferences; ergodic utility (search for similar items in EconPapers)
JEL-codes: C60 D81 (search for similar items in EconPapers)
Date: 2026-08-10
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