Stochastic Dynamic Utilities and Inter-Temporal Preferences

Marco Maggis and Andrea Maran

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Abstract: We propose an axiomatic approach which economically underpins the representation of dynamic preferences in terms of a stochastic utility function, sensitive to the information available to the decision maker. Our construction is iterative and based on inter-temporal preference relations, whose characterization is inpired by the original intuition given by Debreu's State Dependent Utilities (1960).

Date: 2018-03, Revised 2020-02
New Economics Papers: this item is included in nep-mic and nep-upt
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