Choquet expected discounted utility (Q6107389)

This paper discusses stationarity in a context of decision along time and under uncertainty. First it discusses an axiom of strong stationarity that characterizes discounted expected utility and implies a form of uncertainty neutrality. Then, it employs a condition of comonotonicity to introduce an axiom of comonotonic stationarity that generalizes the discounted expected utility model to a Choquet expected discounted utility model. In this last model, the limitation of uncertainty neutrality is dropped and serial correlation aversion (or serial correlation seeking) impacts on agents' decisions can be considered.