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Discounted Subjective Expected Utility in Continuous Time

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  • Lorenzo Bastianello
  • Vassili Vergopoulos

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.

Suggested Citation

  • Lorenzo Bastianello & Vassili Vergopoulos, 2024. "Discounted Subjective Expected Utility in Continuous Time," Papers 2403.15319, arXiv.org.
    • Handle: RePEc:arx:papers:2403.15319
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    References listed on IDEAS

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