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Economics > Theoretical Economics

Title: Discounted Subjective Expected Utility in Continuous Time

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.
Subjects: Theoretical Economics (econ.TH)
Cite as: arXiv:2403.15319 [econ.TH]
  (or arXiv:2403.15319v1 [econ.TH] for this version)

Submission history

From: Lorenzo Bastianello [view email]
[v1] Fri, 22 Mar 2024 16:12:49 GMT (29kb)

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