Discounted subjective expected utility in continuous time
The paper povides a general axiomatic frame to discounted subjective expected utility. The authors introduce a time-dependent preference relation and formulate six axioms, which the preference relation can satisfy. The main result of the paper is Theorem 1, which states that the satisfaction of the six axioms by the preference relation is necessary and sufficient condition for the existence of a nonconstant, bounnded and measurable utility function representing the preference relation. Final section of the paper contains an example, which shows how an appropriate probability measure can be obtained using the theoretical results proved in the paper. The proofs are concentrated in the appendices.
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