Lexicographic probabilities and robustness (Q2195721)

Expected utility preferences as treated in the literature satisfy as a rule Archimedean axiom, i.e. there is no act infinitely better than any other act. The paper makes an attempt to consider representations of non-Archimedean preferences. The author considers for this purpose lexicographic probability systems and lexicographic conditional probability systems. Up to now published results lead to the assumption that the considered probability systems have disjoint support. The author introduces a new axiom in this theory, which requires a robustness property of preferences and removes the disjointness of the support. The robustness means that the preferences remain unchanged under sufficiently small changes in state contingent payoffs.