Economic Theory Seminar

Discounted Subjective Expected Utility in Continuous Time

Lorenzo Bastianello (Università Ca' Foscari Venezia)

Apr 12, 2024, 12:15

ENS Paris-Saclay



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.

Joint work with Vassili Vergopoulos.


CEPS ENS Paris-Saclay
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