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Subjective probability and stochastic independence

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  • Monet, Benjamin
  • Vergopoulos, Vassili

Abstract

This paper studies decision-making under uncertainty and introduces a new preference axiom called Subjective Independence. The latter requires some consistency between two forms of stochastic independence that can be inferred from choice behavior. Yet it can also be understood as a purely subjective version of the classical Independence axiom commonly used under risk. The main result presented in this paper uncovers the role that Subjective Independence plays in the axiomatic characterization of Subjective Expected Utility preferences.

Suggested Citation

  • Monet, Benjamin & Vergopoulos, Vassili, 2022. "Subjective probability and stochastic independence," Journal of Mathematical Economics, Elsevier, vol. 103(C).
    • Handle: RePEc:eee:mateco:v:103:y:2022:i:c:s0304406822000969
    DOI: 10.1016/j.jmateco.2022.102770
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    References listed on IDEAS

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    1. Kopylov, Igor, 2007. "Subjective probabilities on "small" domains," Journal of Economic Theory, Elsevier, vol. 133(1), pages 236-265, March.
    2. Ivan Moscati, 2016. "Retrospectives: How Economists Came to Accept Expected Utility Theory: The Case of Samuelson and Savage," Journal of Economic Perspectives, American Economic Association, vol. 30(2), pages 219-236, Spring.
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    7. Gilboa, Itzhak, 1987. "Expected utility with purely subjective non-additive probabilities," Journal of Mathematical Economics, Elsevier, vol. 16(1), pages 65-88, February.
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