Discounted Subjective Expected Utility in continuous time
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.
Fields of Study & Subjects
Probability and Risk Models
Risk and Portfolio Optimization
Stochastic processes and financial applications
Publication details
- Journal / source
- Journal of Mathematical Economics
- Publisher
- Elsevier BV
- Volume
- 125
- Pages
- 103264–103264
- Publication date
- 21 May 2026
- Language
- EN