- Continuous expected utility for arbitrary state spaces
- Mathematical Methods of Operations Research
- Pages (from-to)
- Document type
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
Subjective expected utility maximization with continuous utility is characterized, extending the result of Wakker (1984, Journal of Mathematical Psychology) to infinite state spaces. In Savage (1954, The Foundations of Statistics) the main restriction, P6, requires structure for the state space, e.g. this must be infinite. The main restriction of this paper, requiring continuity of the utility function, may be more natural in economic contexts, since it is based on topological structure of the consequence space, structure that usually is present in economic contexts anyhow. Replacing the state interpretation by a time interpretation yields a characterization for dynamic contexts.
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