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Latest revision as of 05:54, 5 March 2024
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English | Independence, additivity, uncertainty. With contributions by Birgit Grodal |
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Independence, additivity, uncertainty. With contributions by Birgit Grodal (English)
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17 November 2002
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The most important contribution of this book is to formalize, simplify and unify concepts of uncertainty that occur in mathematical economics. This book gives a compromise between the Bayesian view that the prior knowledge about subsets of the parameter space is a total preorder representable by a probability measure and the other extreme that only observations can say anything about where in the parameter space is the right parameter is. From the mathematical point of view it discusses function spaces with an order relation. Most of the results in this book are based on a surprisingly simple result characterizing totally preordered function spaces with an independence property via representation in the form of additive order-preserving real functions. This representation is very useful to get representations of both relations which are total and transitive and relations which only have the independence property. The book is organized into 18 chapters. Chapter 1 introduces basic concepts.Chapters 2 to 7 consider basic mathematics and chapters 8 and 9 deal with the relations on function spaces. Chapter 10 discusses relations on measures and chapters 11 and 12 consider integral representations. Chapters 13 to 15 analyse decompositions and uncertainty. Chapters 16 to 18 present applications. This well-written book provides an elegant and serious introdution to the basic concepts and results of representations of preferences as sums and integrals. It discusses in detail the decomposition of preferences into utilities and probabilities. This lively presentation of how uncertainty in mathematical economics can be formalized is impressive. The book will serve as an inspiration for further research and can be recommended to researchers and postgraduate students of mathematical economics and mathematicians looking for applications in economics.
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uncertainty
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utilities
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isomorphism
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preferences
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product spaces.
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