Discounted Subjective Expected Utility in Continuous Time

descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Jan 2026Embargo end date: 01 Mar 2024 Italy Publisher:Elsevier BVJournal:Journal of Mathematical Economics, volume 125, page 103,264 (issn: 0304-4068,

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Authors: Bastianello, Lorenzo; Vergopoulos, Vassili;

doi: 10.2139/ssrn.6173543 , 10.1016/j.jmateco.2026.103264 , 10.48550/arxiv.2403.15319

arXiv: 2403.15319

handle: 10278/5117912

Discounted Subjective Expected Utility in Continuous Time

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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.

Country

Italy

Related Organizations

Ca Foscari University of Venice
Italy

Keywords

FOS: Economics and business, Economics - Theoretical Economics, Theoretical Economics (econ.TH)

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