Discounted Subjective Expected Utility in Continuous Time

Published 22 Mar 2024 in econ.TH | (2403.15319v1)

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.

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