Stochastic dynamic utilities and intertemporal preferences (Q2037769)

The authors provide abstract axiomatization of intertemporal preferences reflecting certain level decision maker's impatience. The introduced axioms concerning decision maker's behaviour lead to representation of preference in terms of stochastic dynamic utility function and subjective probability on a general state space. The main result of the paper is the proof of a theorem (Theorem 3 in the text) establishing necessary and sufficient conditions under which the intertemporal preference satisfies the following three properties specified in detail in the text of the paper: monotonicity, sure-thing principle and pointwise continuity. Application of the obtained results to financial economics is presented.