Continuous subjective expected utility with non-additive probabilities (Q1114571)

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Continuous subjective expected utility with non-additive probabilities
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    Continuous subjective expected utility with non-additive probabilities (English)
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    1989
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    A well-known theorem of Debreu about additive representations of preferences is applied in a nonadditive context, to characterize continuous subjective expected utility maximization for the case where the probability measures may be nonadditive. The approach of this paper does not need the assumption that lotteries with known (objective) probability distributions over consequences are available, thus generalizes the approach to `Choquet-expected utility' as initiated by \textit{D. Schmeidler} [``Subjective probability without additivity'', Foerder Inst. of Econ. Res. Tel Aviv Univ., Israel (1982), also published as Caress working paper 84-21 (first part), Univ. of Pennsylvania, Center for Analytic Res. in Econ. and Social Sciences, Philadelphia, USA (1984)]. An elementary presentation of the latter has been provided by the author [``A behavioral foundation for fuzzy measures'', Internal Rep. 89 MA 01, Univ. of Nijmegen, NICI, Dept. of Math. Psychology, The Netherlands (1989), submitted to Fuzzy Sets Syst.]. Independently a related result has been obtained by \textit{Y. Nakamura} [``Subjective expected utility with non-additive probabilities on finite state space'', Discussion Paper No.400, April 1989, Univ. of Tsukuba, Ibaraki, Japan]. A more elaborated presentation has been given by the author [``Additive representations of preferences. A new foundation of decision analysis'' Kluwer Acad. Publ., Dordrecht (1989)], and an easily accessible introduction has also been given by the author [``Transforming probabilities with violating stochastic dominance'', in: E. E. Ch. I. Roskam (ed.), Math. Psychology in Progress, Springer-Verlag, forthcoming].
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    subjective probability
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    nonadditive probability
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    representations of preferences
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    nonadditive context
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    continuous subjective expected utility maximization
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