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Mathematics > Probability

Title: Stochastic Dynamic Utilities and Inter-Temporal Preferences

Authors: Marco Maggis
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 recursive and based on inter-temporal preference relations, whose characterization is inpired by the original intuition given by Debreu's State Dependent Utilities (1960).
Subjects: Probability (math.PR); Economics (q-fin.EC)
Cite as: arXiv:1803.05244 [math.PR]
  (or arXiv:1803.05244v1 [math.PR] for this version)

Submission history

From: Marco Maggis Doctor [view email]
[v1] Wed, 14 Mar 2018 12:55:30 GMT (22kb)