Solution of a functional equation arising in an axiomatization of the utility of binary gambles (Q4517486)

The authors solve a functional equation discussed by \textit{A. A. J. Marley} and \textit{R. D. Luce} [A simple axiomatization of binary rank-dependent expected utility for gains (losses), (to appear)] from the theory of binary gambles, viz. \[ {z\over p}\gamma^{-1} \bigl[z\gamma (p)\bigr]= \varphi^{-1}\bigl[ \varphi(z) \psi(p)\bigr], \quad z,p \in]0,1[, \] under the assumptions that \(\varphi,\psi:]0,1[\to\mathbb{R}_+\) are strictly monotonic, and \(\gamma: ]0,1[ \to \mathbb{R}_+\) is strictly decreasing and surjective. The crucial step is to show that the solution \(f,g:\mathbb{R} \to\mathbb{R} \setminus\{0\}\), \(h:\mathbb{R}_+ \to\mathbb{R} \setminus \{0\}\) of the functional equation \(h(u)[g(u+v) -g(v)]=f(v) g(u+v)\), \(u \in \mathbb{R}_+\), \(v\in\mathbb{R}\), under the assumption that \(f,g\) and \(h\) never change sign, is the following triple: \(f(v)=a \exp(\lambda v)/(\mu+ \exp( \lambda v))\), \(g(v)=b/ (\mu+\exp (\lambda v))\), \(h(u)= a/(1-\exp (\lambda u))\), where \(\mu\) ranges over \(\mathbb{R}_+\), and \(a,b,\lambda\) range over the nonzero real numbers.