Discounted Subjective Expected Utility in Continuous Time

Lorenzo Bastianello and Vassili Vergopoulos

Papers from arXiv.org

Abstract: By embedding uncertainty into time, we obtain a conjoint axiomatic characterization of both Exponential Discounting and Subjective Expected Utility that accommodates arbitrary state and outcome spaces. In doing so, we provide a novel and simple time-interpretation of subjective probability. The subjective probability of an event is calibrated using time discounting.

Date: 2024-03
New Economics Papers: this item is included in nep-mic and nep-upt
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